2 papers
math.OC2025
General mean-field stochastic linear quadratic control problem driven by Lévy processes with random coefficients
Yanyan Tang, Jie Xiong
This paper studies a stochastic mean-field linear-quadratic optimal control problem with random coefficients. The state equation is a general linear stochastic differential equatio…
math.OC2025
Linear-quadratic control for mean-field backward stochastic differential equations with random coefficients
Jie Xiong, Wen Xu, Ying Yang
In this paper, we study the linear-quadratic control problem for mean-field backward stochastic differential equations (MF-BSDE) with random coefficients. We first derive a prelimi…