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• W3104668845 abstract "An optimal control problem is considered for linear stochastic differential equations with quadratic cost functional. The coefficients of the state equation and the weights in the cost functional are bounded operators on the spaces of square integrable random variables. The main motivation of our study is linear quadratic optimal control problems for mean-field stochastic differential equations. Open-loop solvability of the problem is investigated, which is characterized as the solvability of a system of linear coupled forward-backward stochastic differential equations (FBSDE, for short) with operator coefficients. Under proper conditions, the well-posedness of such an FBSDE is established, which leads to the existence of an open-loop optimal control. Finally, as an application of our main results, a general mean-field linear quadratic control problem in the open-loop case is solved." @default.
• W3104668845 created "2020-11-23" @default.
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• W3104668845 date "2019-01-01" @default.
• W3104668845 modified "2023-10-02" @default.
• W3104668845 title "Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions" @default.
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• W3104668845 doi "https://doi.org/10.1051/cocv/2018013" @default.
• W3104668845 hasPublicationYear "2019" @default.
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