Mean-field stochastic linear quadratic control problem with random coefficients

DOI10.1137/24M1670263MaRDI QIDQ6932401zbMATH OpenFDO

Authors Jie Xiong, Wen Xu

Publication date 9 September 2025

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/24M1670263

zbMATH Keywords

extended Lagrange multiplier methodlinear quadratic control problemmean-field controlrandom coefficientRiccati equation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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