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

zbMath1449.49032arXiv1611.06434MaRDI QIDQ5209040

Qingxin Meng, Mao-ning Tang

Publication date: 22 January 2020

Full work available at URL: https://arxiv.org/abs/1611.06434

zbMATH Keywords

optimal controlbackward stochastic differential equationadjoint processmean-field

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Linear optimal control problems (49N05) Existence of optimal solutions to problems involving randomness (49J55)

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