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- W2964171941 abstract "In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness of the optimal control is obtained by the classic convex variation principle. Secondly, by the duality method, the optimality system, also called the stochastic Hamilton system which turns out to be a linear fully coupled mean-field forward-backward stochastic differential equation with jumps, is derived to characterize the optimal control. Thirdly, applying a decoupling technique, we establish the connection between two Riccati equation and the stochastic Hamilton system and then prove the optimal control has a state feedback representation." @default.
- W2964171941 created "2019-07-30" @default.
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- W2964171941 date "2018-04-03" @default.
- W2964171941 modified "2023-10-12" @default.
- W2964171941 title "Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps" @default.
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- W2964171941 doi "https://doi.org/10.1002/asjc.1762" @default.
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