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 ...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.Closedloop 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 closedloop 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.展开更多
基金supported by Hong Kong RGC under grants 519913,15209614 and 15224215Jingrui Sun was partially supported by the National Natural Science Foundation of China(11401556)+1 种基金the Fundamental Research Funds for the Central Universities(WK 2040000012)Jiongmin Yong was partially supported by NSF DMS-1406776.
文摘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.Closedloop 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 closedloop 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.
