Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process

DOI10.1007/s42967-021-00181-yOpenAlexW4224288270WikidataQ114216644 ScholiaQ114216644MaRDI QIDQ2084918

Hong Xiong, Qingxin Meng, Mao-ning Tang

Publication date: 13 October 2022

Published in: Communications on Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42967-021-00181-y

zbMATH Keywords

optimal controlRiccati equationslinear-quadraticfeedback representationmean-field Teugels martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Least squares and related methods for stochastic control systems (93E24) Optimality conditions for problems involving randomness (49K45)

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