Indefinite mean-field type linear-quadratic stochastic optimal control problems
From MaRDI portal
Publication:2208589
DOI10.1016/j.automatica.2020.109267zbMath1451.93418arXiv2003.08090OpenAlexW3011107238MaRDI QIDQ2208589
Publication date: 3 November 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.08090
stochastic differential equationRiccati equationHamiltonian systemforward-backward stochastic differential equationmean-fieldstochastic linear-quadratic problem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items (9)
Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems ⋮ Spectral criteria to stability and observability of mean-field stochastic periodic systems ⋮ Dynamic optimization problems for mean-field stochastic large-population systems ⋮ Maximum principle for mean-field SDEs under model uncertainty ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Turnpike Properties for Mean-Field Linear-Quadratic Optimal Control Problems ⋮ Mean-field linear-quadratic stochastic differential games in an infinite horizon ⋮ A maximum principle for mean-field stochastic control system with noisy observation ⋮ Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
Cites Work
- Well-posedness of mean-field type forward-backward stochastic differential equations
- A maximum principle for SDEs of mean-field type
- A general stochastic maximum principle for SDEs of mean-field type
- Mean-field backward stochastic differential equations: A limit approach
- Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type
- A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon
- Dynamics of the McKean-Vlasov equation
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Linear-quadratic mean-field-type games: a direct method
- A semilinear McKean-Vlasov stochastic evolution equation in Hilbert space
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
- Approximate McKean–Vlasov representations for a class of SPDEs
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach
- Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation
- A direct approach to linear-quadratic stochastic control
- Equivalent cost functionals and stochastic linear quadratic optimal control problems
- Existence of Solutions to a Class of Indefinite Stochastic Riccati Equations
- McKean–Vlasov Limit in Portfolio Optimization
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Semiexplicit Solutions to Some Nonlinear Nonquadratic Mean-Field-Type Games: A Direct Method
- Linear–Quadratic Mean-Field-Type Games: Jump–Diffusion Process With Regime Switching
- Mean-Field stochastic Linear Quadratic optimal control problems: Open-loop solvabilities
- Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
- Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control
This page was built for publication: Indefinite mean-field type linear-quadratic stochastic optimal control problems
