Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
نویسندگان
چکیده
منابع مشابه
Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field forward-backward stochastic differential equation. Using a decoupling technique, two Riccati differential equations are obtained, which are uniquely solvable...
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ژورنال
عنوان ژورنال: Transactions of the American Mathematical Society
سال: 2015
ISSN: 0002-9947,1088-6850
DOI: 10.1090/tran/6502