Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/70386
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | - |
dc.creator | Li, X | - |
dc.creator | Sun, JR | - |
dc.creator | Yong, JM | - |
dc.date.accessioned | 2017-12-28T06:16:37Z | - |
dc.date.available | 2017-12-28T06:16:37Z | - |
dc.identifier.issn | 2367-0126 | - |
dc.identifier.uri | http://hdl.handle.net/10397/70386 | - |
dc.language.iso | en | en_US |
dc.publisher | Springer | en_US |
dc.rights | © The Author(s). 2016 Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. | en_US |
dc.rights | The following publication Li, X., Sun, J. R., & Yong, J. M. (2016). Mean-field stochastic linear quadratic optimal control problems : closed-loop solvability. Probability Uncertainty and Quantitative Risk, 1, 2, 1-24 is available at https://dx.doi.org/10.1186/s41546-016-0002-3 | en_US |
dc.subject | Mean-field stochastic differential equation | en_US |
dc.subject | Linear quadratic optimal control | en_US |
dc.subject | Riccati equation | en_US |
dc.subject | Regular solution | en_US |
dc.subject | Closed-loop solvability | en_US |
dc.title | Mean-field stochastic linear quadratic optimal control problems : closed-loop solvability | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.epage | 24 | - |
dc.identifier.volume | 1 | - |
dc.identifier.doi | 10.1186/s41546-016-0002-3 | - |
dcterms.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. | - |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Probability uncertainty and quantitative risk, 2016, v. 1, 2, p. 1-24 | - |
dcterms.isPartOf | Probability uncertainty and quantitative risk | - |
dcterms.issued | 2016 | - |
dc.identifier.isi | WOS:000413368400002 | - |
dc.identifier.ros | 2016000221 | - |
dc.identifier.artn | 2 | - |
dc.identifier.rosgroupid | 2016000220 | - |
dc.description.ros | 2016-2017 > Academic research: refereed > Publication in refereed journal | - |
dc.description.validate | bcrc | - |
dc.description.oa | Version of Record | en_US |
dc.identifier.FolderNumber | OA_IR/PIRA | en_US |
dc.description.pubStatus | Published | en_US |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
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Li_Mean-Field_Stochastic_Linear.pdf | 643.96 kB | Adobe PDF | View/Open |
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