Solvability of Infinite Horizon McKean–Vlasov FBSDEs in Mean Field Control Problems and Games

Bayraktar, Erhan; Zhang, Xin

doi:10.1007/s00245-022-09926-4

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2023

2024

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Cited by 5 publications

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“…[26] investigated the Markov framework for mean-field backward stochastic differential equations (MFBSDEs). The authors in [27] investigated the existence and uniqueness of the McKean-Vlasov FBSDE solution.…”

Section: Introductionmentioning

confidence: 99%

Infinite Horizon H2/H∞ Control for Discrete-Time Mean-Field Stochastic Systems

Ma,

Hou

2023

Processes

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In this paper, we deal with the H2/H∞ control problem in the infinite horizon for discrete-time mean-field stochastic systems with (x,u,v)-dependent noise. First of all, a stochastic-bounded real lemma, which is the core of H∞ analysis, is derived. Secondly, a sufficient condition in terms of the solution of coupled difference Riccati equations (CDREs) is obtained for solving the H2/H∞ control problem above. In addition, an iterative algorithm for solving CDREs is proposed and a numerical example is given for verification of the feasibility of the developed results.

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Section: Introductionmentioning

confidence: 99%