Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource

By P. J. Graber. 2016

90 citations recorded by the source corpus.

We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of Riccati equations. In certain cases, the solution to the mean field type control is also the equilibrium strategy for a class of mean field games. We use this fact to study an economic model of production of exhaustible resources.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0edc0ec6ee3f4b9312655889f8cddf1e97cd3b79

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In Demography

1. Xunjing Li
2. Jie-Yu Xiong
3. Jingrui Sun

In Economics and Econometrics

1. Jie-Yu Xiong
2. Xunjing Li
3. Jingrui Sun

In Finance

1. Jingrui Sun
2. Xunjing Li
3. Jie-Yu Xiong
4. Jiongmin Yong

Citations in the corpus

• Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations (2016, background): “Graber, P.J.: Linear quadratic mean field type control and mean field games with common noise, with application to production of an exhaustible resource.”