A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon

DOI10.3934/mcrf.2015.5.97zbMath1326.49051arXiv1208.5308OpenAlexW2964204292MaRDI QIDQ888784

Jianhui Huang, Xun Li, Jiong-min Yong

Publication date: 2 November 2015

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

Full work available at URL: https://arxiv.org/abs/1208.5308

zbMATH Keywords

well-posednesssemi-definite programmingalgebraic Riccati equationsmean-field stochastic differential equationslinear-quadratic optimal control problemMF-stabilizability

Mathematics Subject Classification ID

Semidefinite programming (90C22) Sensitivity, stability, well-posedness (49K40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal feedback synthesis (49N35) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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Uses Software

• SDPT3

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