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- W2508291260 abstract "An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic. Closed-loop strategies are introduced, which require to be independent of initial states; and such a nature makes it very useful and convenient in applications. In this paper, the existence of an optimal closed-loop strategy for the system (also called the closed-loop solvability of the problem) is characterized by the existence of a regular solution to the coupled two (generalized) Riccati equations, together with some constraints on the adapted solution to a linear backward stochastic differential equation and a linear terminal value problem of an ordinary differential equation." @default.
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- W2508291260 date "2016-02-25" @default.
- W2508291260 modified "2023-10-16" @default.
- W2508291260 title "Mean-Field Stochastic Linear Quadratic Optimal Control Problems: Closed-Loop Solvability" @default.
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- W2508291260 doi "https://doi.org/10.48550/arxiv.1602.07825" @default.
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