Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
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Abstract: This paper is concerned with mean-field stochastic linear-quadratic (MF-SLQ, for short) optimal control problems with deterministic coefficients. The notion of weak closed-loop optimal strategy is introduced. It is shown that the open-loop solvability is equivalent to the existence of a weak closed-loop optimal strategy. Moreover, when open-loop optimal controls exist, there is at least one of them admitting a state feedback representation, which is the outcome of a weak closed-loop optimal strategy. Finally, an example is presented to illustrate the procedure for finding weak closed-loop optimal strategies.
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Cited in
(7)- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Mean-field stochastic linear quadratic optimal control problems: open-loop solvabilities
- Mean-field linear-quadratic stochastic differential games
- Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
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