Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems
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Publication:5883142
DOI10.1137/21M144219XMaRDI QIDQ5883142FDOQ5883142
Authors: Ran Tian, Zhiyong Yu 
Publication date: 29 March 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2203.14654
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- Well-posedness of mean-field type forward-backward stochastic differential equations
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
forward-backward stochastic differential equationstochastic optimal controlmean-fieldstochastic linear-quadratic problemdomination-monotonicity condition
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cites Work
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Cited In (8)
- Exact controllability for mean-field type linear game-based control systems
- Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems
- Well-posedness of mean-field type forward-backward stochastic differential equations
- Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
- Well-posedness for a class of mean-field-type forward-backward stochastic differential equations and classical solutions of related master equations
- Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems
- Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
- On forward-backward stochastic differential equations in a domination-monotonicity framework
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