A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application

DOI10.1080/00207179.2019.1588478zbMath1461.93546arXiv1706.04316OpenAlexW2963947955MaRDI QIDQ5855337

Allen H. Tai, Fei Tian, Xun Li

Publication date: 18 March 2021

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

Full work available at URL: https://arxiv.org/abs/1706.04316

zbMATH Keywords

mean-field theoryRiccati difference equationstochastic linear-quadratic optimal control problem

Mathematics Subject Classification ID

Feedback control (93B52) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10) Mean field games and control (49N80)

Related Items (1)

Spectral criteria to stability and observability of mean-field stochastic periodic systems

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