Mean-field type discrete stochastic linear quadratic optimal control problems

Abstract

In this paper, we consider linear quadratic optimal control with mean-field type for discrete-time stochastic systems with state and control dependent noise. An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assumed to be deterministic.

arXiv admin note: text overlap with arXiv:2210.01197