References
- Lasry, J.-M., Lions, P.-L. (2007). Mean field games. Jpn. J. Math. 2(1):229–260. DOI: 10.1007/s11537-007-0657-8.
- Huang, J., Wang, S., Wu, Z. (2016). Backward mean-field linear–quadratic–Gaussian (LQG) games: Full and partial information. IEEE Trans. Automat. Contr. 61(12):3784–3796. DOI: 10.1109/TAC.2016.2519501.
- Xu, R., Zhang, F. (2020). ε-Nash mean-field games for general linear–quadratic systems with applications. Automatica. 114:108835. DOI: 10.1016/j.automatica.2020.108835.
- Xu, R., Shi, J. (2019). ε-Nash mean-field games for linear–quadratic systems with random jumps and applications. Int. J. Control. DOI: 10.1080/00207179.2019.1651940.
- Huang, M. (2010). Large-population LQG games involving a major player: the Nash certainty equivalence principle. SIAM J. Control Optim. 48(5):3318–3353. DOI: 10.1137/080735370.
- Nourian, M., Caines, P. E. (2013). ε-Nash mean field game theory for nonlinear stochastic dynamical systems with major and minor agents. SIAM J. Control Optim. 51(4):3302–3331. DOI: 10.1137/120889496.
- Agram, N., Øksendal, B. (2019). Model uncertainty stochastic mean-field control. Stoch. Anal. Appl. 37(1):36–21. DOI: 10.1080/07362994.2018.1499036.
- Agram, N., Øksendal, B. (2019). Stochastic control of memory mean-field processes. Appl. Math. Optim. 79(1):181–204. DOI: 10.1007/s00245-017-9425-1.
- Agram, N., Bachouch, A., Øksendal, B., Proske, F. (2019). Singular control optimal stopping of memory mean-field processes. SIAM J. Math. Anal. 51(1):450–468. DOI: 10.1137/18M1174787.
- Lions, P. Cours au college de france: Th´eorie des jeux ´a champs moyens (2014).
- Carmona, R., Delarue, F. (2015). Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics. Ann. Probab. 43(5):2647–2700. DOI: 10.1214/14-AOP946.
- Bensoussan, A., Yam, S. C. P., Zhang, Z. (2015). Well-posedness of mean-field type forward–backward stochastic differential equations. Stoch. Process. Appl. 125(9):3327–3354. DOI: 10.1016/j.spa.2015.04.006.
- Djehiche, B., Hamadene, S. (2019). Mean-field backward–forward stochastic differential equations and nonzero sum stochastic differential games. arXiv preprint arXiv:1904.06193
- Øksendal, B., Sulem, A. (2015). Risk minimization in financial markets modeled by Ito⁁-L´evy processes. Afr. Math. 26(5–6):939–979. DOI: 10.1007/s13370-014-0248-9.