TY - JOUR
T1 - Mean-Field Stochastic Linear Quadratic Optimal Control Problems
T2 - Closed-Loop Solvability
AU - Li, Xun
AU - Sun, Jingrui
AU - Yong, Jiongmin
N1 - Funding Information:
Xun Li was partially supported by Hong Kong RGC under grants 519913, 15209614 and 15224215. Jingrui Sun was partially supported by the National Natural Science Foundation of China (11401556) and the Fundamental Research Funds for the Central Universities (WK 2040000012). Jiongmin Yong was partially supported by NSF DMS-1406776.
Publisher Copyright:
© The Author(s). 2016.
PY - 2016/1
Y1 - 2016/1
N2 - An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic. Closed-loop strategies are introduced, which require to be independent of initial states; and such a nature makes it very useful and convenient in applications. In this paper, the existence of an optimal closed-loop strategy for the system (also called the closed-loop solvability of the problem) is characterized by the existence of a regular solution to the coupled two (generalized) Riccati equations, together with some constraints on the adapted solution to a linear backward stochastic differential equation and a linear terminal value problem of an ordinary differential equation.
AB - An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic. Closed-loop strategies are introduced, which require to be independent of initial states; and such a nature makes it very useful and convenient in applications. In this paper, the existence of an optimal closed-loop strategy for the system (also called the closed-loop solvability of the problem) is characterized by the existence of a regular solution to the coupled two (generalized) Riccati equations, together with some constraints on the adapted solution to a linear backward stochastic differential equation and a linear terminal value problem of an ordinary differential equation.
KW - Closed-loop solvability
KW - Linear quadratic optimal control
KW - Mean-field stochastic differential equation
KW - Regular solution
KW - Riccati equation
UR - http://www.scopus.com/inward/record.url?scp=85132365299&partnerID=8YFLogxK
U2 - 10.1186/s41546-016-0002-3
DO - 10.1186/s41546-016-0002-3
M3 - Journal article
AN - SCOPUS:85132365299
SN - 2095-9672
VL - 1
JO - Probability, Uncertainty and Quantitative Risk
JF - Probability, Uncertainty and Quantitative Risk
IS - 1
M1 - 2
ER -