Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations --- Time-Consistent Solutions

Jiongmin Yong

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arXiv · 1304.3964

Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations --- Time-Consistent Solutions

Jiongmin Yong

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Abstract

Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop equilibrium solutions are presented for such kind of problems. Open-loop solutions are presented by means of variational method with decoupling of forward-backward stochastic differential equations, which lead to a Riccati equation system lack of symmetry. Closed-loop solutions are presented by means of multi-person differential games, the limit of which leads to a Riccati equation system with a symmetric structure.

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BibTeX RIS

Jiongmin Yong. 2013-05-05. Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations --- Time-Consistent Solutions. https://arxiv.org/abs/1304.3964

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