Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations --- Time-Consistent Solutions
Optimization and Control
2013-05-07 v2 Probability
Abstract
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop equilibrium solutions are presented for such kind of problems. Open-loop solutions are presented by means of variational method with decoupling of forward-backward stochastic differential equations, which lead to a Riccati equation system lack of symmetry. Closed-loop solutions are presented by means of multi-person differential games, the limit of which leads to a Riccati equation system with a symmetric structure.
Cite
@article{arxiv.1304.3964,
title = {Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations --- Time-Consistent Solutions},
author = {Jiongmin Yong},
journal= {arXiv preprint arXiv:1304.3964},
year = {2013}
}
Comments
51 pages