Research-Mean-field stochastic linear-quadratic optimal control problem

Research

Graduate Student Colloquium

Mean-field stochastic linear-quadratic optimal control problem

Speaker: Yuying Ou
Time: Mar 9, 2021, 10:00-11:00
Location: Tencent Meeting ID 295-257-224

Abstract:

This paper is concerned with a class of mean-field linear-quadratic stochastic control problems for partially observed linear dynamical systems.And the control is required to be adopted to the filtration generated by the partially observation process. The variation method fails in this case, and the orthogonal decomposition is applied to overcome this difficulty. The state pro_x0002_cess is divided into two parts: the first part is a functional of the control and the filtering process; the second part is independent of the choice of the control.A feedback representation process is obtained for the optimal control via the filtering.