Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems

DOI10.1007/S00245-024-10148-ZMaRDI QIDQ6564718zbMATH OpenFDO

Authors Qingmeng Wei, Yaqi Xu, Zhiyong Yu

Publication date 1 July 2024

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00245-024-10148-Z

zbMATH Keywords

infinite horizonlinear-quadraticmean-field forward-backward stochastic differential equations (FBSDE) with jumpsopen-loop control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10)

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Cites work

• A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
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• Necessary stochastic maximum principle for dissipative systems on infinite time horizon
• Optimal ergodic control of linear stochastic differential equations with quadratic cost functionals having indefinite weights
• Solution of forward-backward stochastic differential equations
• Stochastic linear quadratic optimal control problems in infinite horizon

Cited in

(3)

• Well-posedness and comparison theorems of coupled mean-field forward-backward stochastic differential equations
• Infinite time horizon stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
• L^p-estimate for infinite horizon decoupled forward-backward stochastic differential equations with jumps

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