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

By Jiongmin Yong. 2013

149 citations recorded by the source corpus.

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.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2326f9ae4fcbde29c601ec2306697b76fd0fdc08

Citations in the corpus

• Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations (2016, unknown): “Ma, J., Protter, P., Yong, J.: Solving forward–backward stochastic differential equations explicitly: a four-step scheme.”