An iterative algorithm using a monotonically increasing matrix sequence decouples and solves coupled algebraic Riccati equations for mean-field LQ zero-sum games, with a claimed convergence proof and universal applicability.
Mean-field linear-quadratic stochastic differential games in an infinite horizon*
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An Iterative Computational Framework for Infinite-Horizon Mean-Field Linear-Quadratic Zero-Sum Stochastic Differential Games
An iterative algorithm using a monotonically increasing matrix sequence decouples and solves coupled algebraic Riccati equations for mean-field LQ zero-sum games, with a claimed convergence proof and universal applicability.