LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS FOR MEAN-FIELD STOCHASTIC DIFFERENTIAL EQUATIONS
Abbreviated Journal Title
SIAM J. Control Optim.
mean-field stochastic differential equation; linear-quadratic optimal; control; Riccati differential equation; feedback representation; MCKEAN-VLASOV EQUATION; HILBERT-SPACE; EVOLUTION EQUATION; LIMIT; DIFFUSIONS; DYNAMICS; Automation & Control Systems; Mathematics, Applied
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which is a linear mean-field forward-backward stochastic differential equation. Using a decoupling technique, two Riccati differential equations are obtained which are uniquely solvable under certain conditions. Then a feedback representation is obtained for the optimal control.
Siam Journal on Control and Optimization
"LINEAR-QUADRATIC OPTIMAL CONTROL PROBLEMS FOR MEAN-FIELD STOCHASTIC DIFFERENTIAL EQUATIONS" (2013). Faculty Bibliography 2010s. 4896.