Abbreviated Journal Title
SIAM J. Control Optim.
Keywords
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
Abstract
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.
Journal Title
Siam Journal on Control and Optimization
Volume
51
Issue/Number
4
Publication Date
1-1-2013
Document Type
Article
DOI Link
Language
English
First Page
2809
Last Page
2838
WOS Identifier
ISSN
0363-0129
Recommended Citation
Yong, Jiongmin, "Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations" (2013). Faculty Bibliography 2010s. 4896.
https://stars.library.ucf.edu/facultybib2010/4896
Comments
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