Linear quadratic optimal control problems for mean-field backward stochastic differential equations
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Publication:2318102
Abstract: This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field forward-backward stochastic differential equation with constraint, is obtained by a variational method. By decoupling the optimality system, two coupled Riccati equations and an MF-BSDE are derived. It turns out that the coupled two Riccati equations are uniquely solvable. Then a complete and explicit representation is obtained for the optimal control.
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.
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