# American Institute of Mathematical Sciences

June  2019, 9(2): 385-409. doi: 10.3934/mcrf.2019018

## Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I

 School of Mathematics, Sichuan University, Chengdu, China

Received  November 2017 Revised  August 2018 Published  December 2018

Fund Project: The research was supported by the NSF of China under grant 11231007, 11401404 and 11471231, and the Fundamental Research Funds for the central Universities (YJ201605)

In this paper, a class of time inconsistent linear quadratic optimal control problems for mean-field stochastic differential equations (SDEs) are considered under Markovian framework. Open-loop equilibrium controls and their particular closed-loop representations are introduced and characterized via variational ideas. Several interesting features are revealed and a system of coupled Riccati equations is derived. In contrast with the analogue optimal control problems of SDEs, the mean-field terms in state equation, which is another reason of time inconsistency, prompts us to define the above two notions in new manners. An interesting result, which is almost trivial in the counterpart problems of SDEs, is given and plays significant role in the previous characterizations. As application, the uniqueness of open-loop equilibrium controls is discussed.

Citation: Tianxiao Wang. Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I. Mathematical Control & Related Fields, 2019, 9 (2) : 385-409. doi: 10.3934/mcrf.2019018
##### References:

show all references

##### References:
 [1] Jianhui Huang, Xun Li, Jiongmin Yong. A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon. Mathematical Control & Related Fields, 2015, 5 (1) : 97-139. doi: 10.3934/mcrf.2015.5.97 [2] Michael Herty, Lorenzo Pareschi, Sonja Steffensen. Mean--field control and Riccati equations. Networks & Heterogeneous Media, 2015, 10 (3) : 699-715. doi: 10.3934/nhm.2015.10.699 [3] Kim Dang Phung, Gengsheng Wang, Xu Zhang. On the existence of time optimal controls for linear evolution equations. Discrete & Continuous Dynamical Systems - B, 2007, 8 (4) : 925-941. doi: 10.3934/dcdsb.2007.8.925 [4] Salah Eddine Choutri, Boualem Djehiche, Hamidou Tembine. Optimal control and zero-sum games for Markov chains of mean-field type. Mathematical Control & Related Fields, 2019, 9 (3) : 571-605. doi: 10.3934/mcrf.2019026 [5] Rong Yang, Li Chen. Mean-field limit for a collision-avoiding flocking system and the time-asymptotic flocking dynamics for the kinetic equation. Kinetic & Related Models, 2014, 7 (2) : 381-400. doi: 10.3934/krm.2014.7.381 [6] Yves Achdou, Mathieu Laurière. On the system of partial differential equations arising in mean field type control. Discrete & Continuous Dynamical Systems - A, 2015, 35 (9) : 3879-3900. doi: 10.3934/dcds.2015.35.3879 [7] Jiongmin Yong. A deterministic linear quadratic time-inconsistent optimal control problem. Mathematical Control & Related Fields, 2011, 1 (1) : 83-118. doi: 10.3934/mcrf.2011.1.83 [8] Hongyong Deng, Wei Wei. Existence and stability analysis for nonlinear optimal control problems with $1$-mean equicontinuous controls. Journal of Industrial & Management Optimization, 2015, 11 (4) : 1409-1422. doi: 10.3934/jimo.2015.11.1409 [9] Galina Kurina, Sahlar Meherrem. Decomposition of discrete linear-quadratic optimal control problems for switching systems. Conference Publications, 2015, 2015 (special) : 764-774. doi: 10.3934/proc.2015.0764 [10] Yufeng Shi, Tianxiao Wang, Jiongmin Yong. Mean-field backward stochastic Volterra integral equations. Discrete & Continuous Dynamical Systems - B, 2013, 18 (7) : 1929-1967. doi: 10.3934/dcdsb.2013.18.1929 [11] Jiongmin Yong. Time-inconsistent optimal control problems and the equilibrium HJB equation. Mathematical Control & Related Fields, 2012, 2 (3) : 271-329. doi: 10.3934/mcrf.2012.2.271 [12] Jin Feng He, Wei Xu, Zhi Guo Feng, Xinsong Yang. On the global optimal solution for linear quadratic problems of switched system. Journal of Industrial & Management Optimization, 2019, 15 (2) : 817-832. doi: 10.3934/jimo.2018072 [13] Y. Gong, X. Xiang. A class of optimal control problems of systems governed by the first order linear dynamic equations on time scales. Journal of Industrial & Management Optimization, 2009, 5 (1) : 1-10. doi: 10.3934/jimo.2009.5.1 [14] N. Arada, J.-P. Raymond. Time optimal problems with Dirichlet boundary controls. Discrete & Continuous Dynamical Systems - A, 2003, 9 (6) : 1549-1570. doi: 10.3934/dcds.2003.9.1549 [15] Martino Bardi. Explicit solutions of some linear-quadratic mean field games. Networks & Heterogeneous Media, 2012, 7 (2) : 243-261. doi: 10.3934/nhm.2012.7.243 [16] Kai Du, Jianhui Huang, Zhen Wu. Linear quadratic mean-field-game of backward stochastic differential systems. Mathematical Control & Related Fields, 2018, 8 (3&4) : 653-678. doi: 10.3934/mcrf.2018028 [17] Hancheng Guo, Jie Xiong. A second-order stochastic maximum principle for generalized mean-field singular control problem. Mathematical Control & Related Fields, 2018, 8 (2) : 451-473. doi: 10.3934/mcrf.2018018 [18] Patrick Gerard, Christophe Pallard. A mean-field toy model for resonant transport. Kinetic & Related Models, 2010, 3 (2) : 299-309. doi: 10.3934/krm.2010.3.299 [19] Thierry Paul, Mario Pulvirenti. Asymptotic expansion of the mean-field approximation. Discrete & Continuous Dynamical Systems - A, 2019, 39 (4) : 1891-1921. doi: 10.3934/dcds.2019080 [20] Georg Vossen, Stefan Volkwein. Model reduction techniques with a-posteriori error analysis for linear-quadratic optimal control problems. Numerical Algebra, Control & Optimization, 2012, 2 (3) : 465-485. doi: 10.3934/naco.2012.2.465

2018 Impact Factor: 1.292