Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability

DOI10.1186/s41546-016-0002-3zbMath1433.49050arXiv1602.07825OpenAlexW2963292724WikidataQ59466620 ScholiaQ59466620MaRDI QIDQ2296081

Xun Li, Jingrui Sun, Jiong-min Yong

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.07825

zbMATH Keywords

Riccati equationregular solutionmean-field stochastic differential equationlinear quadratic optimal controlclosed-loop solvability

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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