Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems
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Publication:5883142
DOI10.1137/21M144219XMaRDI QIDQ5883142
Publication date: 29 March 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2203.14654
stochastic optimal controlforward-backward stochastic differential equationmean-fieldstochastic linear-quadratic problemdomination-monotonicity condition
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
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