期刊
SIAM JOURNAL ON CONTROL AND OPTIMIZATION
卷 51, 期 4, 页码 2809-2838出版社
SIAM PUBLICATIONS
DOI: 10.1137/120892477
关键词
mean-field stochastic differential equation; linear-quadratic optimal control; Riccati differential equation; feedback representation
资金
- NSERC
- AFOSR
- NSF [DMS-1007514]
Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which is a linear mean-field forward-backward stochastic differential equation. Using a decoupling technique, two Riccati differential equations are obtained which are uniquely solvable under certain conditions. Then a feedback representation is obtained for the optimal control.
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