Mean-field type discrete stochastic linear quadratic optimal control problems
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Publication:6412908
arXiv2210.01804MaRDI QIDQ6412908FDOQ6412908
Authors: Arzu Ahmadova, Nazim Idrisoglu Mahmudov 
Publication date: 3 October 2022
Abstract: In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.
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