Linear-Quadratic-Gaussian mean-field controls of social optima
| Autor: | Zhenghong Qiu, Tinghan Xie, Jianhui Huang |
|---|---|
| Rok vydání: | 2023 |
| Předmět: |
Lyapunov function
Control and Optimization Series (mathematics) Applied Mathematics Mathematical finance Linear-quadratic-Gaussian control symbols.namesake Stochastic differential equation Convergence (routing) symbols Applied mathematics Variational analysis Representation (mathematics) Mathematics |
| Zdroj: | Mathematical Control and Related Fields. 13:1-34 |
| ISSN: | 2156-8499 2156-8472 |
| DOI: | 10.3934/mcrf.2021047 |
| Popis: | This paper investigates a class of unified stochastic linear-quadratic-Gaussian (LQG) social optima problems involving a large number of weakly-coupled interactive agents under a generalized setting. For each individual agent, the control and state process enters both diffusion and drift terms in its linear dynamics, and the control weight might be indefinite in cost functional. This setup is innovative and has great theoretical and realistic significance as its applications in mathematical finance (e.g., portfolio selection in mean-variation model). Using some fully-coupled variational analysis under the person-by-person optimality principle, and the mean-field approximation method, the decentralized social control is derived by a class of new type consistency condition (CC) system for typical representative agent. Such CC system is some mean-field forward-backward stochastic differential equation (MF-FBSDE) combined with embedding representation. The well-posedness of such forward-backward stochastic differential equation (FBSDE) system is carefully examined. The related social asymptotic optimality is related to the convergence of the average of a series of weakly-coupled backward stochastic differential equation (BSDE). They are verified through some Lyapunov equations. |
| Databáze: | OpenAIRE |
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