A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application (Q5855337): Difference between revisions

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scientific article; zbMATH DE number 7325664

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English	A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application	scientific article; zbMATH DE number 7325664

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instance of

scholarly article

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title

A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application (English)

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International Journal of Control

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publication date

18 March 2021

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full work available at URL

https://arxiv.org/abs/1706.04316

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zbMATH Keywords

mean-field theory

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Riccati difference equation

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stochastic linear-quadratic optimal control problem

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MaRDI profile type

MaRDI publication profile

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cites work

Discrete-time indefinite LQ control with state and control dependent noises

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A maximum principle for SDEs of mean-field type

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The matrix minimum principle

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Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations

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Mean Field Games and Mean Field Type Control Theory

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Linear-quadratic mean field games

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The operator theory of the pseudo-inverse. I: Bounded operators, II: Unbounded operators with arbitrary range

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A stochastic particle method for the McKean-Vlasov and the Burgers equation

0 references

Mean-field backward stochastic differential equations: A limit approach

0 references

A general stochastic maximum principle for SDEs of mean-field type

0 references

Mean-field backward stochastic differential equations and related partial differential equations

0 references

Mean field forward-backward stochastic differential equations

0 references

A probabilistic weak formulation of mean field games and applications

0 references

Dynamics of the McKean-Vlasov equation

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Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model

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Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

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McKean-Vlasov limit for interacting random processes in random media.

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Convergence of the embedded mean-variance optimal points with discrete sampling

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Large deviations from the mckean-vlasov limit for weakly interacting diffusions

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Q4272804

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Discrete time mean-field stochastic linear-quadratic optimal control problems

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Q3672830

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On the McKean-Vlasov Limit for Interacting Diffusions

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Mean Field Games and Applications

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A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim

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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

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Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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A mean-field stochastic maximum principle via Malliavin calculus

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Discrete time LQG controls with control dependent noise

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Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case

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Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon

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Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control

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Q5262334

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Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time

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Stochastic linear quadratic optimal control problems in infinite horizon

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On a Matrix Riccati Equation of Stochastic Control

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Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach

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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

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Mean-variance asset-liability management under constant elasticity of variance process

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Identifiers

zbMATH Open document ID

1461.93546

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DOI

10.1080/00207179.2019.1588478

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5855337

@@ Property / arXiv ID @@
+.04316
@@ Property / arXiv ID: 1706.04316 / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-time indefinite LQ control with state and control dependent noises
+Normal rank
@@ Property / cites work @@
+A maximum principle for SDEs of mean-field type
@@ Property / cites work: A maximum principle for SDEs of mean-field type / rank @@
+Normal rank
@@ Property / cites work @@
+The matrix minimum principle
@@ Property / cites work: The matrix minimum principle / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
+Normal rank
@@ Property / cites work @@
+Mean Field Games and Mean Field Type Control Theory
+Normal rank
@@ Property / cites work @@
+Linear-quadratic mean field games
@@ Property / cites work: Linear-quadratic mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+The operator theory of the pseudo-inverse. I: Bounded operators, II: Unbounded operators with arbitrary range
+Normal rank
@@ Property / cites work @@
+A stochastic particle method for the McKean-Vlasov and the Burgers equation
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations: A limit approach
+Normal rank
@@ Property / cites work @@
+A general stochastic maximum principle for SDEs of mean-field type
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations and related partial differential equations
+Normal rank
@@ Property / cites work @@
+Mean field forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A probabilistic weak formulation of mean field games and applications
+Normal rank
@@ Property / cites work @@
+Dynamics of the McKean-Vlasov equation
@@ Property / cites work: Dynamics of the McKean-Vlasov equation / rank @@
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
+Normal rank
@@ Property / cites work @@
+Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
+Normal rank
@@ Property / cites work @@
+McKean-Vlasov limit for interacting random processes in random media.
+Normal rank
@@ Property / cites work @@
+Convergence of the embedded mean-variance optimal points with discrete sampling
+Normal rank
@@ Property / cites work @@
+Large deviations from the mckean-vlasov limit for weakly interacting diffusions
+Normal rank
@@ Property / cites work @@
+Q4272804
@@ Property / cites work: Q4272804 / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete time mean-field stochastic linear-quadratic optimal control problems
+Normal rank
@@ Property / cites work @@
+Q3672830
@@ Property / cites work: Q3672830 / rank @@
+Normal rank
@@ Property / cites work @@
+On the McKean-Vlasov Limit for Interacting Diffusions
+Normal rank
@@ Property / cites work @@
+Mean Field Games and Applications
@@ Property / cites work: Mean Field Games and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim
+Normal rank
@@ Property / cites work @@
+Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
+Normal rank
@@ Property / cites work @@
+Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
+Normal rank
@@ Property / cites work @@
+A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
+Normal rank
@@ Property / cites work @@
+A mean-field stochastic maximum principle via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Discrete time LQG controls with control dependent noise
+Normal rank
@@ Property / cites work @@
+Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case
+Normal rank
@@ Property / cites work @@
+Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control: From Finite Horizon to Infinite Horizon
+Normal rank
@@ Property / cites work @@
+Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control
+Normal rank
@@ Property / cites work @@
+Q5262334
@@ Property / cites work: Q5262334 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Linear-Quadratic Problems of Deterministic and Stochastic Optimal Control in Discrete Time
+Normal rank
@@ Property / cites work @@
+Stochastic linear quadratic optimal control problems in infinite horizon
+Normal rank
@@ Property / cites work @@
+On a Matrix Riccati Equation of Stochastic Control
+Normal rank
@@ Property / cites work @@
+Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
+Normal rank
@@ Property / cites work @@
+Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management under constant elasticity of variance process
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank