Linear quadratic optimal control problems for mean-field backward stochastic differential equations (Q2318102)

The authors consider an optimal control problem for systems described by mean-field backward stochastic differential equations with a quadratic cost functional. The uniqueness and existence of an optimal control is guaranteed by strict convexity and coerciveness of the cost functional under certain conditions. The optimal control is characterized by a coupled mean field type forward-backward stochastic equation with a stationarity condition. Using the four-step scheme introduced in [\textit{J. Ma} et al., Probab. Theory Relat. Fields 98, No. 3, 339--359 (1994; Zbl 0794.60056)] the authors transform the problem into two coupled Riccati equations which could be uniquely solved. It enables derivation of explicit formulas for the optimal control and the value function.