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http://hdl.handle.net/10397/93883
Title: | A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application | Authors: | Li, X Tai, AH Tian, F |
Issue Date: | 2021 | Source: | International journal of control, 2021, v. 94, no. 1, p. 175-189 | Abstract: | This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arising from financial application. Through matrix dynamical optimisation method, a group of linear feedback controls is investigated. The problem is then reformulated as an operator stochastic linear-quadratic optimal control problem by a sequence of bounded linear operators over Hilbert space, the optimal control with six algebraic Riccati difference equations is obtained by backward induction. The two above approaches are proved to be coincided by the classical method of completing the square. Finally, after discussing the solution of the problem under multidimensional noises, a financial application example is given. | Keywords: | Mean-field theory Riccati difference equation Stochastic linear-quadratic optimal control problem |
Publisher: | Taylor & Francis | Journal: | International journal of control | ISSN: | 0020-7179 | DOI: | 10.1080/00207179.2019.1588478 | Rights: | © 2019 Informa UK Limited, trading as Taylor & Francis Group This is an Accepted Manuscript of an article published by Taylor & Francis in International Journal of Control on 14 Mar 2019 (published online), available at: http://www.tandfonline.com/10.1080/00207179.2019.1588478 |
Appears in Collections: | Journal/Magazine Article |
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Li_Discrete-Time_Mean-Field_Stochastic.pdf | Pre-Published version | 265.56 kB | Adobe PDF | View/Open |
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