Matrix-Valued Mean-Field-Type Games: Risk-Sensitive, Adversarial, and Risk-Neutral Linear-Quadratic Case

Abstract

In this paper we study a class of matrix-valued linear-quadratic mean-field-type games for both the risk-neutral, risk-sensitive and robust cases. Non-cooperation, full cooperation and adversarial between teams are treated. We provide a semi-explicit solution for both problems by means of a direct method. The state dynamics is described by a matrix-valued linear jump-diffusion-regime switching system of conditional mean-field type where the conditioning is with respect to common noise which is a regime switching process. The optimal strategies are in a state-and-conditional mean-field feedback form. Semi-explicit solutions of equilibrium costs and strategies are also provided for the full cooperative, adversarial teams, risk-sensitive full cooperative and risk-sensitive adversarial team cases. It is shown that full cooperation increases the well-posedness domain under risk-sensitive decision-makers by means of population risk-sharing. Finally, relationship between risk-sensitivity and robustness are established in the mean-field type context.