SOCIAL OPTIMA IN MEAN FIELD LINEAR-QUADRATIC-GAUSSIAN CONTROL WITH VOLATILITY UNCERTAINTY

Huang, JH; Wang, BC; Yong, JM

Huang, JH (corresponding author), Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Peoples R China.

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021; 59 (2): 825

Abstract

This paper examines mean field linear-quadratic-Gaussian social optimum control with volatility-uncertain common noise. The diffusion terms in the dyn......

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