Risk-Sensitive Linear-Quadratic Mean-Field Games:Asymptotic Solvability and Decentralized O(1/N)-Nash Equilibria In honour of the 80th birthday of Professor Peter Caines  

作　　者：WANG Yu HUANG Minyi 

机构地区：[1]School of Control Science and Engineering,Shandong University,Jinan 250061,China [2]School of Mathematics and Statistics,Carleton University,Ottawa K1S 5B6,Canada

出　　处：《Journal of Systems Science & Complexity》2025年第1期436-459,共24页系统科学与复杂性学报(英文版)

基　　金：supported by Natural Sciences and Engineering Research Council(NSERC)of Canada.

摘　　要：This paper considers risk-sensitive linear-quadratic mean-field games.By the so-called direct approach via dynamic programming,the authors determine the feedback Nash equilibrium in an N-player game.Subsequently,the authors design a set of decentralized strategies by passing to the mean-field limit.The authors prove that the set of decentralized strategies constitutes an O(1/N)-Nash equilibrium when applied by the N players,and hence obtain so far the tightest equilibrium error bounds for this class of models.

关 键 词：Asymptotic Nash equilibria decentralized strategies linear-quadratic mean-field games risk-sensitive costs 

分 类 号：O225[理学—运筹学与控制论]