most citedA Class of Discrete-time Mean-field Stochastic Linear-quadratic Optimal Control Problems with Financial Application

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math.OC2017★ 2 cited

A Class of Discrete-time Mean-field Stochastic Linear-quadratic Optimal Control Problems with Financial Application

Xun Li, Allen H. Tai, Fei Tian

This paper is concerned with a discrete-time mean-field stochastic linear-quadratic optimal control problem arose from financial application. Through matrix dynamical optimization…