A Mean-Field Game for a Forward-Backward Stochastic System with Partial Observation and Common Noise,IEEE/CAA Journal of Automatica Sinica

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A Mean-Field Game for a Forward-Backward Stochastic System with Partial Observation and Common Noise
IEEE/CAA Journal of Automatica Sinica ( IF 11.8 ) Pub Date : 2024-02-12 , DOI: 10.1109/jas.2023.124047
Pengyan Huang ₁ , Guangchen Wang ₁ , Shujun Wang ₂ , Hua Xiao ₃

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This paper considers a linear-quadratic (LQ) mean-field game governed by a forward-backward stochastic system with partial observation and common noise, where a coupling structure enters state equations, cost functionals and observation equations. Firstly, to reduce the complexity of solving the mean-field game, a limiting control problem is introduced. By virtue of the decomposition approach, an admissible control set is proposed. Applying a filter technique and dimensional-expansion technique, a decentralized control strategy and a consistency condition system are derived, and the related solvability is also addressed. Secondly, we discuss an approximate Nash equilibrium property of the decentralized control strategy. Finally, we work out a financial problem with some numerical simulations.

更新日期：2024-02-13

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