The ergodic linear-quadratic optimal control problems for stochastic mean-field systems with periodic coefficients

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Authors: Jiacheng Wu, Qi Zhang
Cited by: 0

Abstract

In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation with periodic coefficients. We first study the asymptotic behavior of the solution to the state equation and get a family of periodic measures depending on time variables within a period from the convergence of transition probabilities. Then, with the help of periodic measures and periodic Riccati equations, we transform the ergodic cost functional on infinite horizon into an equivalent cost functional on a single periodic interval without limit, and present the closed-loop optimal controls for our concerned control system. Finally, an example is given to demonstrate the applications of our theoretical results.

Fields of Study & Subjects

Stochastic processes and financial applications Risk and Portfolio Optimization Stability and Control of Uncertain Systems

Publication details

Journal / source
ESAIM Control Optimisation and Calculus of Variations
Publication date
2 September 2026
Language
EN