$\\epsilon$-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

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article

$\\epsilon$-Nash equilibrium of anticipative large-population LQ game with partial observations

Springer Link (Chiba Institute of Technology)
Stochastic processes and financial applications
article

$\\epsilon$-Nash equilibrium of anticipative large-population LQ game with partial observations

article en

Abstract

\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

Springer Link (Chiba Institute of Technology)
National Natural Science Foundation of China, Department of Education of Guizhou Province
Openalex Percentile: Top 49%
Stochastic processes and financial applications
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