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- W2890833025 abstract "This paper is concerned with a dynamic game of N weakly-coupled linear backward stochastic differential equation (BSDE) systems involving mean-field interactions. The backward mean-field game (MFG) is introduced to establish the backward decentralized strategies. To this end, we introduce the notations of Hamiltonian-type consistency condition (HCC) and Riccati-type consistency condition (RCC) in BSDE setup. Then, the backward MFG strategies are derived based on HCC and RCC respectively. Under mild conditions, these two MFG solutions are shown to be equivalent. Next, the approximate Nash equilibrium of derived MFG strategies are also proved. In addition, the scalar-valued case of backward MFG is solved explicitly. As an illustration, one example from quadratic hedging with relative performance is further studied." @default.
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- W2890833025 date "2018-01-01" @default.
- W2890833025 modified "2023-10-14" @default.
- W2890833025 title "Linear quadratic mean-field-game of backward stochastic differential systems" @default.
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- W2890833025 doi "https://doi.org/10.3934/mcrf.2018028" @default.
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