$\\epsilon$-Nash equilibrium of anticipative large-population LQ game with partial observations
\n In this paper, we study a class of large-population linear-quadratic game problems driven by an anticipative signal-observation system with a correlation between the initial value of the signal and the observation noise. Firstly, we utilize a method of enlargement of filtration to transform the anticipative signal-observation system into a higher-dimensional non-anticipative one, and under which, construct an extended equivalent large-population adapted game problem. Secondly, for each individual, by separation principle, filtering theory, and squared compensatory technology, we derive a closed-form decentralized equilibrium strategy for a limiting adapted version with freezing a term instead of average state, and obtain a consistency condition consisting of a forward-backward stochastic differential system with the coefficients affected by the correlation function. Finally, we prove for the extended equivalent large-population adapted game, the $\\epsilon-$Nash equilibrium properties of the decentralized strategy designed by means of locally observed information.\n
Publication Details
- Journal
- Springer Link (Chiba Institute of Technology)
- Published
- 2024-12-02
- DOI
- https://doi.org/10.1051/cocv/2024087/pdf
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- National Natural Science Foundation of China
- Department of Education of Guizhou Province