Linear-quadratic optimal control problems for mean-field stochastic differential equations
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Publication:2862448
DOI10.1137/120892477zbMATH Open1275.49060arXiv1110.1564OpenAlexW2067437055MaRDI QIDQ2862448FDOQ2862448
Authors: Jiongmin Yong 
Publication date: 15 November 2013
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field forward-backward stochastic differential equation. Using a decoupling technique, two Riccati differential equations are obtained, which are uniquely solvable under certain conditions. Then a feedback representation is obtained for the optimal control.
Full work available at URL: https://arxiv.org/abs/1110.1564
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mean-field stochastic differential equationRiccati differential equationlinear-quadratic optimal controlfeedback representation
Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)
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