Linear-quadratic-Gaussian mean-field controls of social optima
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Publication:6157099
DOI10.3934/mcrf.2021047zbMath1518.93158arXiv2005.06792OpenAlexW3201616531MaRDI QIDQ6157099
Jianhui Huang, Tinghan Xie, Zhenghong Qiu
Publication date: 19 June 2023
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.06792
mean-field forward-backward stochastic differential equationlinear-quadratic-Gaussianweakly-coupled stochastic systemmean-field social optimality
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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