Mean-Field stochastic Linear Quadratic optimal control problems: Open-loop solvabilities

DOI10.1051/cocv/2016023zbMath1393.49024arXiv1509.02100OpenAlexW2229437907MaRDI QIDQ5269845

Jingrui Sun

Publication date: 28 June 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.02100

zbMATH Keywords

finitenessRiccati equationmean-field stochastic differential equationlinear quadratic optimal controlopen-loop solvabilityfeedback representation

Mathematics Subject Classification ID

Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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