A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems

DOI10.1007/s10957-018-01453-zzbMath1416.49040arXiv1810.10532OpenAlexW2898256821WikidataQ128761684 ScholiaQ128761684MaRDI QIDQ2420787

Huyên Pham, Matteo Basei

Publication date: 7 June 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.10532

zbMATH Keywords

linear-quadratic optimal controlRiccati equationweak martingale optimality principlemean-field sdes

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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