Finite-Horizon Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control

Yuan Hua Ni, Xun Li, Ji Feng Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review

1 Citation (Scopus)

Abstract

The open-loop optimal control can be defined for a fixed initial state, whose existence is characterized via the solvability of a linear mean-field forward-backward stochastic difference equations with stationary conditions. Differently, the closed-loop strategy is a global notion, which involves all the initial pairs. The existence of the closed-loop optimal strategy is shown to be equivalent to the solvability of a couple of generalized difference Riccati equations, the finiteness of the value function for all the initial pairs, and the existence of open-loop optimal strategy for all the initial pairs.
Original languageEnglish
Pages (from-to)211-216
Number of pages6
JournalIFAC-PapersOnLine
Volume48
Issue number28
DOIs
Publication statusPublished - 1 Jan 2015

Keywords

  • forward-backward stochastic difference equation
  • stochastic linear-quadratic optimal control
  • Time-inconsistency

ASJC Scopus subject areas

  • Control and Systems Engineering

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