| Autor: |
JIANHUI HUANG, BING-CHANG WANG, JIONGMIN YONG |
| Předmět: |
|
| Zdroj: |
SIAM Journal on Control & Optimization; 2021, Vol. 59 Issue 2, p825-856, 32p |
| Abstrakt: |
This paper examines mean field linear-quadratic-Gaussian social optimum control with volatility-uncertain common noise. The diffusion terms in the dynamics of agents contain an unknown volatility process driven by a common noise. We apply a robust optimization approach in which all agents view volatility uncertainty as an adversarial player. Based on the principle of person-by-person optimality and a two-step duality technique for stochastic variational analysis, we construct an auxiliary optimal control problem for a representative agent. Through solving this problem combined with a consistent mean field approximation, we design a set of decentralized strategies, which are further shown to be asymptotically social optimal by perturbation analysis. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
|
