Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps

DOI10.1002/asjc.1762zbMath1423.49034arXiv1610.03193OpenAlexW2964171941MaRDI QIDQ5194896

Qingxin Meng, Mao-ning Tang

Publication date: 17 September 2019

Published in: Asian Journal of Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.03193

zbMATH Keywords

linear-quadratic optimal controlBrownian motionduality methodmean-field stochastic differential equationsadjoint processesfeedback representationstochastic Hamilton systemPoisson random martingale

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Linear-quadratic optimal control problems (49N10) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

A mean-field stochastic linear-quadratic optimal control problem with jumps under partial information ⋮ Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions ⋮ Itô's formula for flows of measures on semimartingales ⋮ Partially observed nonzero-sum differential game of BSDEs with delay and applications ⋮ Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process

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