Infinite-Dimensional LQ Mean Field Games with Common Noise: Small and Arbitrary Finite Time Horizons
We develop the theory of linear-quadratic (LQ) mean field games (MFGs) in Hilbert spaces with common noise modeled by an infinite-dimensional Wiener process that affects the dynamics of all agents. In the presence of common noise, the mean-field consistency condition is characterized by a system of coupled forward-backward stochastic...