English

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 \EEX(t)\EE X(t) and \EEu(t)\EE u(t) 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.

Keywords

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}
}
R2 v1 2026-06-28T22:24:38.197Z