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math.OC2019
Social Optima in Mean Field Linear-Quadratic-Gaussian Control with Volatility Uncertainty
Jianhui Huang, Bing-Chang Wang, Jiongmin Yong
This paper examines mean field linear-quadratic-Gaussian (LQG) social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain…
math.OC2019★ 11 cited
Time-Inconsistent Stochastic Optimal Control Problems and Backward Stochastic Volterra Integral Equations
Hanxiao Wang, Jiongmin Yong
An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for…