Infinite Horizon Mean-Field Linear Quadratic Optimal Control Problems with Jumps and the Related Hamiltonian Systems-Reference-Cited by-同舟云学术

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Infinite Horizon Mean-Field Linear Quadratic Optimal Control Problems with Jumps and the Related Hamiltonian Systems

Published:2024-06-04 Issue:1 Volume:90 Page:
ISSN:0095-4616
Container-title:Applied Mathematics & Optimization
language:en
Short-container-title:Appl Math Optim

Author:

Wei Qingmeng,Xu Yaqi^ORCID,Yu Zhiyong

Funder

Natural Science Foundation of Jilin Province for Outstanding Young Talents

National Natural Science Foundation of China

the National Key R &D Program of China

the Fundamental Research Funds for the Central Universities (

Publisher

Springer Science and Business Media LLC

Link

https://link.springer.com/content/pdf/10.1007/s00245-024-10148-z.pdf

Reference21 articles.

1. Agram, N., Øksendal, B.: Infinite horizon optimal control of forward-backward stochastic differential equations with delay. J. Comput. Appl. Math. 259, 336–349 (2014). https://doi.org/10.1016/j.cam.2013.04.048

2. Deepa, R., Muthukumar, P.: Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes. J. Anal. 27(2), 623–641 (2019). https://doi.org/10.1007/s41478-018-0098-1

3. Guatteri, G., Tessitore, G.: Backward stochastic Riccati equations and infinite horizon L-Q optimal control with infinite dimensional state space and random coefficients. Appl. Math. Optim. 57, 207–235 (2008). https://doi.org/10.1007/s00245-007-9020-y

4. Haadem, S., Øksendal, B., Proske, F.: Maximum principles for jump diffusion processes with infinite horizon. Autom.J. IFAC 49(7), 2267–2275 (2013). https://doi.org/10.1016/j.automatica.2013.04.011

5. Huang, J., Li, X., Yong, J.: A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon. Math. Control Relat. Fields 5(1), 97–139 (2015). https://doi.org/10.3934/mcrf.2015.5.97

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