arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 2301.07076math.AP
收藏

具有二次费用函数的非局部平均场对策方程的密度矩性质

Properties of moments of density for nonlocal mean field game equations with a quadratic cost function

Olga S. Rozanova, Mikhail V. Inyakin

摘要:

本文研究了二次费用函数下具有跳扩散过程$X_t$的平均场对策方程,证明了$X_t$的期望和方差服从二阶常微分方程,其系数依赖于费用函数的参数.此外,对于纯扩散的情况,概率密度方程的特征函数和基本解只能用过程$X_t$的期望值${\mathbb E}$和方差${\mathbb V}$来表示,因此任何阶的矩只依赖于${\mathbb E}$和${\mathbb V}$。

英文摘要:

We consider mean field game equations with an underlying jump-diffusion process $X_t$ for the case of a quadratic cost function and show that the expectation and variance of $X_t$ obey second-order ordinary differential equations with coefficients depending on the parameters of the cost function. Moreover, for the case of pure diffusion, the characteristic function and the fundamental solution of the equation for the probability density can only be expressed in terms of the expectation ${\mathbb E}$ and the variance ${\mathbb V}$ of the process $X_t$, so that the moments of any order depend only on ${\mathbb E}$ and ${\mathbb V}$.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑