Linear quadratic optimal control problems for mean-field backward stochastic differential equations
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Publication:2318102
DOI10.1007/s00245-017-9464-7zbMath1428.49037arXiv1610.02903OpenAlexW2531372032MaRDI QIDQ2318102
Jingrui Sun, Xun Li, Jie Xiong
Publication date: 13 August 2019
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.02903
Riccati equationdecouplingoptimality systemlinear quadratic optimal controlmean-field backward stochastic differential equation
Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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