Linear Feedback of Mean-Field Stochastic Linear Quadratic Optimal Control Problems on Time Scales

Yingjun Zhu and Guangyan Jia

Mathematical Problems in Engineering, 2020, vol. 2020, 1-11

Abstract:

This paper addresses a version of the linear quadratic control problem for mean-field stochastic differential equations with deterministic coefficients on time scales, which includes the discrete time and continuous time as special cases. Two coupled Riccati equations on time scales are given and the optimal control can be expressed as a linear state feedback. Furthermore, we give a numerical example.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:8051918

DOI: 10.1155/2020/8051918

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