General mean-field stochastic linear quadratic control problem driven by Lévy processes with random coefficients
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866910880284803072 |
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| author | Tang, Yanyan Xiong, Jie |
| author_facet | Tang, Yanyan Xiong, Jie |
| contents | This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equation with mean-field terms $\EE X(t)$ and $\EE u(t)$ of the state and the control processes and is driven by a Brownian motion and a Poisson random measure. By the coupled system of Riccati equations, an explicit expressions for the optimal state feedback control is obtained. As a by-product, the non-homogeneous stochastic linear-quadratic control problem with random coefficients and Lévy driving noises is also studied. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_13835 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | General mean-field stochastic linear quadratic control problem driven by Lévy processes with random coefficients Tang, Yanyan Xiong, Jie Optimization and Control This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equation with mean-field terms $\EE X(t)$ and $\EE u(t)$ of the state and the control processes and is driven by a Brownian motion and a Poisson random measure. By the coupled system of Riccati equations, an explicit expressions for the optimal state feedback control is obtained. As a by-product, the non-homogeneous stochastic linear-quadratic control problem with random coefficients and Lévy driving noises is also studied. |
| title | General mean-field stochastic linear quadratic control problem driven by Lévy processes with random coefficients |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2503.13835 |