Mean Field Game for Linear Quadratic Stochastic Recursive Systems

Abstract: This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual control region is postulated to be convex. The decentralized strategies and consistency condition are represented by a kind of coupled mean-field FBSDEs with projection operators. The well-posedness of consistency condition system is obtained using the monotonicity condition method. The $\epsilon$-Nash equilibrium property is discussed as well.