English

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.

Keywords

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

R2 v1 2026-06-21T23:59:26.149Z