Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints

We consider a class of linear-quadratic-Gaussian mean-field games having a major agent and numerous heterogeneous minor agents in the presence of mean-field interactions. The individual admissible controls are constrained in closed convex subsets Γₖ of Rᵐ. The decentralized strategies of individual agents and the consistency condition system are represented in a unified manner through a class of mean-field forward-backward stochastic differential equations involving projection operators on Γₖ. The well-posedness of the consistency system is established in both the local and global cases through the contraction mapping and discounting methods, respectively. A related ε-Nash-equilibrium property is also verified.