Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/93912
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Li, X | en_US |
dc.creator | Sun, J | en_US |
dc.creator | Xiong, J | en_US |
dc.date.accessioned | 2022-08-03T01:24:11Z | - |
dc.date.available | 2022-08-03T01:24:11Z | - |
dc.identifier.issn | 0095-4616 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/93912 | - |
dc.language.iso | en | en_US |
dc.publisher | Springer | en_US |
dc.rights | © Springer Science+Business Media, LLC 2017 | en_US |
dc.rights | This version of the article has been accepted for publication, after peer review (when applicable) and is subject to Springer Nature’s AM terms of use (https://www.springernature.com/gp/open-research/policies/accepted-manuscript-terms), but is not the Version of Record and does not reflect post-acceptance improvements, or any corrections. The Version of Record is available online at: http://dx.doi.org/10.1007/s00245-017-9464-7 | en_US |
dc.subject | Decoupling | en_US |
dc.subject | Linear quadratic optimal control | en_US |
dc.subject | Mean-field backward stochastic differential equation | en_US |
dc.subject | Optimality system | en_US |
dc.subject | Riccati equation | en_US |
dc.title | Linear quadratic optimal control problems for mean-field backward stochastic differential equations | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 223 | en_US |
dc.identifier.epage | 250 | en_US |
dc.identifier.volume | 80 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.doi | 10.1007/s00245-017-9464-7 | en_US |
dcterms.abstract | This paper is concerned with linear quadratic optimal control problems for mean-field backward stochastic differential equations (MF-BSDEs, for short) with deterministic coefficients. The optimality system, which is a linear mean-field forward–backward stochastic differential equation with constraint, is obtained by a variational method. By decoupling the optimality system, two coupled Riccati equations and an MF-BSDE are derived. It turns out that the coupled two Riccati equations are uniquely solvable. Then a complete and explicit representation is obtained for the optimal control. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Applied mathematics and optimization, Aug. 2019, v. 80, no. 1, p. 223-250 | en_US |
dcterms.isPartOf | Applied mathematics and optimization | en_US |
dcterms.issued | 2019-08 | - |
dc.identifier.scopus | 2-s2.0-85037373037 | - |
dc.identifier.eissn | 1432-0606 | en_US |
dc.description.validate | 202208 bcfc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0443 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 6804374 | - |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Li_Linear_Quadratic_Optimal.pdf | Pre-Published version | 908.79 kB | Adobe PDF | View/Open |
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