Discrete‐time mean‐field stochastic linear‐quadratic optimal control problem with finite horizon-Reference-Cited by-同舟云学术

Discrete‐time mean‐field stochastic linear‐quadratic optimal control problem with finite horizon

Published:2020-03-11 Issue:2 Volume:23 Page:979-989
ISSN:1561-8625
Container-title:Asian Journal of Control
language:en
Short-container-title:Asian J Control

Author:

Song Teng¹,Liu Bin¹^ORCID

Affiliation:

1. School of Mathematics and Statistics, Hubei Key Laboratory of Engineering Modeling and Scientific Computing Huazhong University of Science and Technology Wuhan Hubei China

Publisher

Wiley

Subject

Control and Systems Engineering

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/asjc.2306

Reference29 articles.

1. Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points

2. A Maximum Principle for SDEs of Mean-Field Type

3. Optimal Control Problem for Risk-Sensitive Mean-Field Stochastic Delay Differential Equation with Partial Information

4. Output FeedbackH∞Control for Discrete-time Mean-field Stochastic Systems

5. A mean field approach for optimization in discrete time

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