General mean-field stochastic linear quadratic control problem driven by L\'evy processes with random coefficients
Optimization and Control
2025-03-19 v1
Abstract
This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equation with mean-field terms and of the state and the control processes and is driven by a Brownian motion and a Poisson random measure. By the coupled system of Riccati equations, an explicit expressions for the optimal state feedback control is obtained. As a by-product, the non-homogeneous stochastic linear-quadratic control problem with random coefficients and L\'evy driving noises is also studied.
Cite
@article{arxiv.2503.13835,
title = {General mean-field stochastic linear quadratic control problem driven by L\'evy processes with random coefficients},
author = {Yanyan Tang and Jie Xiong},
journal= {arXiv preprint arXiv:2503.13835},
year = {2025}
}