Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients

DOI10.3934/NACO.2024020MaRDI QIDQ6668664

Jiongmin Yong, Hongwei Mei, Qingmeng Wei

Publication date: 22 January 2025

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

forward-backward stochastic differential equationslinear-quadratic control problemmean-fielddifferential Riccati equationopen-loop solvabilityclosed-loop solvability

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Functional limit theorems; invariance principles (60F17)

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