Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations with Jumps

11 Oct 2016 Tang Maoning Meng Qingxin

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... (read more)

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  • OPTIMIZATION AND CONTROL