Infinite Horizon Linear Quadratic Mean Field Problems with Common Noise and Regime Switching via Conditional McKean-Vlasov FBSDEs

Abstract

This paper studies infinite horizon linear quadratic (LQ) mean field problems with common noise and regime switching, covering both control and game formulations. To establish a theoretical foundation for the LQ framework, we first analyze fully coupled forward-backward stochastic differential equations (FBSDEs) of conditional McKean-Vlasov type with Markovian switching and establish its well-posedness under a generalized domination-monotonicity condition. Building upon this solvability result, we then derive necessary and sufficient conditions for both the open-loop optimal control in the control problem and the mean-field Nash equilibria in the game problem.