Infinite horizon mean-field linear quadratic optimal control problems with jumps and the related Hamiltonian systems

DOI10.1007/s00245-024-10148-zzbMath1542.49028MaRDI QIDQ6564718

Yaqi Xu, Zhi-Yong Yu, Qingmeng Wei

Publication date: 1 July 2024

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

infinite horizonopen-loop controllinear-quadraticmean-field forward-backward stochastic differential equations (FBSDE) with jumps

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Existence of optimal solutions to problems involving randomness (49J55)

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