Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability

DOI10.3934/MCRF.2020026zbMATH Open1461.93553arXiv1907.01740OpenAlexW3033089379MaRDI QIDQ829008FDOQ829008

Authors: Jingrui Sun, Hanxiao Wang 

Publication date: 5 May 2021

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Abstract: This paper is concerned with mean-field stochastic linear-quadratic (MF-SLQ, for short) optimal control problems with deterministic coefficients. The notion of weak closed-loop optimal strategy is introduced. It is shown that the open-loop solvability is equivalent to the existence of a weak closed-loop optimal strategy. Moreover, when open-loop optimal controls exist, there is at least one of them admitting a state feedback representation, which is the outcome of a weak closed-loop optimal strategy. Finally, an example is presented to illustrate the procedure for finding weak closed-loop optimal strategies.

Full work available at URL: https://arxiv.org/abs/1907.01740

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zbMATH Keywords

state feedbackmean-field stochastic differential equationlinear-quadratic optimal controlopen-loop solvabilityweak closed-loop solvability

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Feedback control (93B52) Optimal stochastic control (93E20) Mean field games and control (49N80)

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Cited In (7)

• Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
• Weak closed-loop solvability of stochastic linear-quadratic optimal control problems
• Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
• Mean-field stochastic linear quadratic optimal control problems: open-loop solvabilities
• Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
• On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
• Mean-field linear-quadratic stochastic differential games

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