A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application

DOI10.1080/00207179.2019.1588478zbMATH Open1461.93546arXiv1706.04316OpenAlexW2963947955MaRDI QIDQ5855337FDOQ5855337

Authors: Xun Li, Allen H. Tai, Fei Tian 

Publication date: 18 March 2021

Published in: International Journal of Control (Search for Journal in Brave)

Abstract: This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization method, a group of linear feedback controls is investigated. The problem is then reformulated as an operator stochastic linear-quadratic optimal control problem by a sequence of bounded linear operators over Hilbert space, the optimal control with six algebraic Riccati difference equations is obtained by backward induction. The two above approaches are proved to be coincided by the classical method of completing the square. Finally, after discussing the solution of the problem under multidimensional noises, a financial application example is given.

Full work available at URL: https://arxiv.org/abs/1706.04316

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zbMATH Keywords

Riccati difference equationmean-field theorystochastic linear-quadratic optimal control problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Linear-quadratic optimal control problems (49N10) Feedback control (93B52) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Mean field games and control (49N80)

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Cited In (10)

• Stochastic linear quadratic optimal control problem: from discrete to continuous time
• Discrete-time mean-field stochastic linear-quadratic optimal control problem with finite horizon
• A nonhomogeneous mean-field linear-quadratic optimal control problem and application
• A general maximum principle for discrete fractional stochastic control system of mean-field type
• Mean-field formulation for the infinite-horizon mean-variance control of discrete-time linear systems with multiplicative noises
• Spectral criteria to stability and observability of mean-field stochastic periodic systems
• Solving quantum stochastic LQR optimal control problem in Fock space and its application in finance
• Discrete time mean-field stochastic linear-quadratic optimal control problems
• A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
• A numerical method for solving stochastic linear quadratic problem with a finance application

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