Non-equivalence of stochastic optimal control problems with open and closed loop controls

DOI10.1016/j.sysconle.2021.104948zbMath1475.93118arXiv2012.13683OpenAlexW3159832963MaRDI QIDQ2242892

Yanyan Li

Publication date: 10 November 2021

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.13683

zbMATH Keywords

stochastic optimal controlopen-loop controlsclosed-loop controls

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls

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