Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
نویسندگان
چکیده
منابع مشابه
Mean-Field Stochastic Linear Quadratic Optimal Control Problems: Closed-Loop Solvability
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. Closed-loop strategies are introduced, which require to be independent of initial states; and such a nature makes it very useful and convenient in applications. In ...
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ژورنال
عنوان ژورنال: Probability, Uncertainty and Quantitative Risk
سال: 2016
ISSN: 2367-0126
DOI: 10.1186/s41546-016-0002-3