Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2507.16582 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866912496803119104 |
|---|---|
| author | Wang, Hanxiao Yong, Jiongmin |
| author_facet | Wang, Hanxiao Yong, Jiongmin |
| contents | This paper investigates a mean-field linear-quadratic optimal control problem where the state dynamics and cost functional incorporate both expectation and conditional expectation terms. We explicitly derive the pre-committed, na\"ıve, and equilibrium solutions and establish the well-posedness of the associated Riccati equations. This reveals how the expectation and conditional expectation operators influence time-consistency. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_16582 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Mean-Field Stochastic Linear-Quadratic Optimal Controls: Roles of Expectation and Conditional Expectation Operators Wang, Hanxiao Yong, Jiongmin Optimization and Control This paper investigates a mean-field linear-quadratic optimal control problem where the state dynamics and cost functional incorporate both expectation and conditional expectation terms. We explicitly derive the pre-committed, na\"ıve, and equilibrium solutions and establish the well-posedness of the associated Riccati equations. This reveals how the expectation and conditional expectation operators influence time-consistency. |
| title | Mean-Field Stochastic Linear-Quadratic Optimal Controls: Roles of Expectation and Conditional Expectation Operators |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2507.16582 |