The paper derives optimal control laws and Nash equilibria for mean-field-type games under Rosenblatt noise, and argues they beat Gaussian approximations.
A scalar linear-quadratic two player stochastic differential game with a rosenblatt process noise,
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Mean-Field-Type Game Theory with Rosenblatt Noise
The paper derives optimal control laws and Nash equilibria for mean-field-type games under Rosenblatt noise, and argues they beat Gaussian approximations.