Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications

DOI10.1186/s41546-016-0008-xzbMath1433.49030arXiv1604.06609OpenAlexW2338171141WikidataQ59471134 ScholiaQ59471134MaRDI QIDQ2296086

Huyên Pham

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/1604.06609

zbMATH Keywords

dynamic programmingrandom coefficientsRiccati equationbackward stochastic differential equationlinear quadratic optimal controlstochastic McKean-Vlasov SDEs

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Dynamic stochastic general equilibrium theory (91B51) Vlasov equations (35Q83)

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