强势参与者和弱势参与者群体的随机LQ博弈  

Stochastic LQ Games Involving a Major Player and a Large Number of Minor Players

作　　者：胡芳超[1] 

机构地区：[1]复旦大学数学科学学院,上海200433

出　　处：《复旦学报（自然科学版）》2011年第6期720-731,共12页Journal of Fudan University：Natural Science

基　　金：浙江省自然科学基金资助项目(Y606667)

摘　　要：研究了含有一个强势参与者和一群弱势参与者的随机LQ博弈问题,参与者状态方程的扩散项依赖于他本身的状态和控制变量.推导了相应的NCE方程并对参与者的闭环状态进行估计,给出了博弈问题的ε-Nash均衡.Stochastic LQ Games involving a major player and a large number of minor players are discussed. NCE equations are derived, closed-loop behavior of agents is analyzed, and ε-Nash equilibria are given. The results generalize the existing ones by considering the appearance of the state and control in the diffusion term.

关 键 词：随机微分博弈 NCE 随机LQ控制 ε-Nash均衡 

分 类 号：O225[理学—运筹学与控制论] O231.3[理学—数学]