On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
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Publication:5118958
DOI10.1051/cocv/2019057zbMath1442.93048OpenAlexW2974742025MaRDI QIDQ5118958
Publication date: 28 August 2020
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2019057
time inconsistencyRiccati systemclosed-loop equilibrium strategiesmean-field linear-quadratic optimal control problems
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Mean field games and control (49N80)
Related Items (5)
Robust time-inconsistent stochastic linear-quadratic control with drift disturbance ⋮ Time inconsistent asset-liability management with partial information ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients ⋮ Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations
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