Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales (Q783177)
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scientific article; zbMATH DE number 7226166
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| English | Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales |
scientific article; zbMATH DE number 7226166 |
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Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales (English)
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30 July 2020
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Summary: This paper addresses a version of the linear quadratic control problem for mean-field stochastic differential equations with deterministic coefficients on time scales, which includes the discrete time and continuous time as special cases. Two coupled Riccati equations on time scales are given and the optimal control can be expressed as a linear state feedback. Furthermore, we give a numerical example.
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