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

DOI10.1137/21M144219XMaRDI QIDQ5883142FDO

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

forward-backward stochastic differential equationstochastic optimal controlmean-fieldstochastic linear-quadratic problemdomination-monotonicity condition

Mathematics Subject Classification ID

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

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Cited in

(8)

• Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
• Partially observed mean-field game and related mean-field forward-backward stochastic differential equation
• On forward-backward stochastic differential equations in a domination-monotonicity framework
• Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems
• Well-posedness for a class of mean-field-type forward-backward stochastic differential equations and classical solutions of related master equations
• Well-posedness of mean-field type forward-backward stochastic differential equations
• 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

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