Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations

By Xunjing Li, Jingrui Sun, Jie-Yu Xiong. Applied Mathematics and Optimization, 2016

72 citations recorded by the source corpus.

This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field forward–backward stochastic differential equation with constraint, is obtained by a variational method. By decoupling the optimality system, two coupled Riccati equations and an MF-BSDE are derived. It turns out that the coupled two Riccati equations are uniquely solvable. Then a complete and explicit representation is obtained for the optimal control.

Subfields: Computational Mechanics, Demography, Finance

View Paper: https://www.semanticscholar.org/paper/948dfea99a63a271c35dbe9e6dd086cb127c9144

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Mao Fabrice Djete
2. Xiaolu Tan
3. Dylan Possamaï

In Finance

1. Dylan Possamaï
2. Xiaolu Tan
3. Mao Fabrice Djete
4. Marcel Nutz
5. Nicole El Karoui

Citations in the corpus

• McKean–Vlasov optimal control: The dynamic programming principle (2019, background): “Specialisations to linear–quadratic settings were also explored by Pham [65], Li, Sun, and Yong [57], Li, Sun, and Xiong [58], Huang, Li, and Yong [43], Yong [80], and Basei and Pham [8].”