Extended MF-FBSDEs with nonlinear domination-monotonicity conditions and stochastic optimal controls of Linear System with quadruple controls
Fuente:
arXiv
Enregistré dans:
| Auteur principal: | |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866918493004234752 |
|---|---|
| author | Wu, Hao |
| author_facet | Wu, Hao |
| contents | This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a nonlinear setting by incorporating nonlinear adjoint functions. Utilizing this generalized well-posedness result for extended MF-FBSDEs in conjunction with other refined analytical techniques, we address two classes of stochastic quadruple optimal controlled problems: a linear-convex problem and a linear-quadratic problem with input constraints that are permitted to be time-dependent and random. For each problem, we establish the existence and uniqueness of optimal controls and derive their explicit closed-form representations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2605_09374 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Extended MF-FBSDEs with nonlinear domination-monotonicity conditions and stochastic optimal controls of Linear System with quadruple controls Wu, Hao Optimization and Control This paper extends the domination-monotonicity conditions, which guarantee the well-posedness of extended mean-filed forward-backward stochastic differential equations (extended MF-FBSDEs), from the previously studied linear framework to a nonlinear setting by incorporating nonlinear adjoint functions. Utilizing this generalized well-posedness result for extended MF-FBSDEs in conjunction with other refined analytical techniques, we address two classes of stochastic quadruple optimal controlled problems: a linear-convex problem and a linear-quadratic problem with input constraints that are permitted to be time-dependent and random. For each problem, we establish the existence and uniqueness of optimal controls and derive their explicit closed-form representations. |
| title | Extended MF-FBSDEs with nonlinear domination-monotonicity conditions and stochastic optimal controls of Linear System with quadruple controls |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2605.09374 |