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Fractional Mean-Fie...
Fractional Mean-Field-Type Games under Non-Quadratic Costs : A Direct Method
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Barreiro-Gomez, J. (författare)
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- Djehiche, Boualem, 1962- (författare)
- KTH,Matematisk statistik
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Duncan, T. E. (författare)
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Pasik-Duncan, B. (författare)
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Tembine, H. (författare)
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(creator_code:org_t)
- Institute of Electrical and Electronics Engineers Inc. 2019
- 2019
- Engelska.
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Ingår i: Proceedings of the IEEE Conference on Decision and Control. - : Institute of Electrical and Electronics Engineers Inc.. - 9781728113982 ; , s. 293-298
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This work examines the solvability of fractional conditional mean-field-type games. The evolution of the state is described by a time-fractional stochastic dynamics driven by jump-diffusion-regime switching Gauss-Volterra processes which include fractional Brownian motion and multi-fractional Brownian motion. The cost functional is non-quadratic and includes a fractional-integral of an higher order polynomial. We provide semi-explicitly the equilibrium strategies in state-and-conditional mean-field-type feedback form for all decision-makers.
Ämnesord
- NATURVETENSKAP -- Matematik -- Matematisk analys (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Mathematical Analysis (hsv//eng)
Nyckelord
- Decision making
- Stochastic systems
- Conditional means
- Cost functionals
- Decision makers
- Equilibrium strategy
- Fractional brownian motion
- Fractional integrals
- Higher-order polynomials
- Stochastic dynamics
- Brownian movement
Publikations- och innehållstyp
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- kon (ämneskategori)
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