Indefinite mean-field type linear–quadratic stochastic optimal control problems
Copyright policy )Indefinite mean-field type linear–quadratic stochastic optimal control problems
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of stochastic Hamiltonian system and Riccati equations is presented under both positive definite case and indefinite case. The optimal controls in open-loop form and closed-loop form are obtained, respectively. Moreover, the dynamic mean-variance problem can be solved within the framework of the indefinite MF-LQ problem. Other two examples shed light on the theoretical results established.
30 pages, 5 figures
- Hong Kong Polytechnic University China (People's Republic of)
- Shandong Women’s University China (People's Republic of)
- Hong Kong Polytechnic University (香港理工大學) China (People's Republic of)
- Shandong University of Finance and Economics China (People's Republic of)
- Hong Kong Polytechnic University (香港理工大學) Hong Kong
stochastic linear-quadratic problem, Stochastic differential equation, Equation, mean-field, stochastic differential equation, Stochastic linear–quadratic problem, 530, Stochastic ordinary differential equations (aspects of stochastic analysis), Mean-field, Riccati equation, Forward–backward stochastic differential, Optimization and Control (math.OC), forward-backward stochastic differential equation, Linear-quadratic optimal control problems, FOS: Mathematics, Optimal stochastic control, Hamiltonian system, Mathematics - Optimization and Control
stochastic linear-quadratic problem, Stochastic differential equation, Equation, mean-field, stochastic differential equation, Stochastic linear–quadratic problem, 530, Stochastic ordinary differential equations (aspects of stochastic analysis), Mean-field, Riccati equation, Forward–backward stochastic differential, Optimization and Control (math.OC), forward-backward stochastic differential equation, Linear-quadratic optimal control problems, FOS: Mathematics, Optimal stochastic control, Hamiltonian system, Mathematics - Optimization and Control
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).26 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
Citations provided by BIP!Popularity provided by BIP!