Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems

DOI10.1137/21M144219XMaRDI QIDQ5883142zbMATH OpenFDO

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

zbMATH Keywords

domination-monotonicity conditionforward-backward stochastic differential equationmean-fieldstochastic linear-quadratic problemstochastic optimal control

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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• Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
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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

Cites work

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• Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation
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• Forward-backward stochastic differential equations and quasilinear parabolic PDEs
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• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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• Well-posedness of mean-field type forward-backward stochastic differential equations

Cited in

(13)

• 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
• Well-posedness of mean-field type forward-backward stochastic differential equations
• Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems
• 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
• 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
• Well-posedness and comparison theorems of coupled mean-field forward-backward stochastic differential equations
• L^p-estimate for mean-field type FBSDEs
• Well-posedness of fully coupled McKean-Vlasov FBSDE and application to Stackelberg games
• A progressive maximum principle of fully coupled mean-field system with jumps
• Well-posedness of mean-field forward-backward stochastic difference equations and applications to optimal control

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