典型文献
Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equation with Lévy Process
文献摘要：
This paper investigates a linear-quadratic mean-field stochastic optimal control problem under both positive definite case and indefinite case where the controlled systems are mean-field stochastic differential equations driven by a Brownian motion and Teugels mar-tingales associated with Lévy processes.In either case,we obtain the optimality system for the optimal controls in open-loop form,and by means of a decoupling technique,we obtain the optimal controls in closed-loop form which can be represented by two Riccati differen-tial equations.Moreover,the solvability of the optimality system and the Riccati equations are also obtained under both positive definite case and indefinite case.
文献关键词：
中图分类号：
作者姓名：
Hong Xiong;Maoning Tang;Qingxin Meng
作者机构：
Department of Mathematics,Zhejiang Normal University,Jinhua 321004,Zhejiang,China;Department of Mathematical Sciences,Huzhou University,Huzhou 313000,Zhejiang,China
文献出处：
引用格式：
[1]Hong Xiong;Maoning Tang;Qingxin Meng-.Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equation with Lévy Process)[J].应用数学与计算数学学报,2022(04):1386-1415
A类：
Teugels,tingales
B类：
Linear,Quadratic,Optimal,Control,Problems,Mean,Field,Stochastic,Differential,Equation,vy,Process,This,paper,investigates,linear,quadratic,field,stochastic,problem,under,both,positive,case,indefinite,where,controlled,systems,are,differential,equations,driven,by,Brownian,motion,mar,associated,processes,In,either,we,optimality,controls,open,loop,form,means,decoupling,technique,closed,which,can,be,represented,two,Riccati,Moreover,solvability,also,obtained
AB值：
0.555653
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