Time-inconsistent mean-field stochastic linear-quadratic optimal control

2016 ◽  
Author(s):  
Yuan-Hua Ni
Keyword(s):  
Optimal Control ◽  
Mean Field ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Quadratic Optimal Control ◽  
Time Inconsistent

scholarly journals Linear Feedback of Mean-Field Stochastic Linear Quadratic Optimal Control Problems on Time Scales

2020 ◽  
Vol 2020 ◽  
pp. 1-11 ◽  
Author(s):  
Yingjun Zhu ◽  
Guangyan Jia
Keyword(s):  
Optimal Control ◽  
Time Scales ◽  
Mean Field ◽  
Linear Feedback ◽  
Linear Quadratic ◽  
Linear Quadratic Optimal Control ◽  
Coupled Riccati Equations ◽  
Special Cases ◽  
Quadratic Optimal Control ◽  
Linear State

This paper addresses a version of the linear quadratic control problem for mean-field stochastic differential equations with deterministic coefficients on time scales, which includes the discrete time and continuous time as special cases. Two coupled Riccati equations on time scales are given and the optimal control can be expressed as a linear state feedback. Furthermore, we give a numerical example.

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