Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
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Publication:5347269
DOI10.1090/tran/6502zbMath1361.93070arXiv1304.3964OpenAlexW2964068907MaRDI QIDQ5347269
Publication date: 23 May 2017
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1304.3964
Lyapunov equationlinear-quadratic optimal controlRiccati equationequilibrium solutionmean-field stochastic differential equationtime-inconsistency\(N\)-person differential games
Differential games and control (49N70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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