| Abstract: |
| In this talk, we will present our recent studies on mean-field stochastic linear quadratic (MFSLQ) control problems with random coefficients. We discovered that, despite the presence of terms like $\mathbb{E}[A(\cdot)X(\cdot)]$ in the adjoint equation preventing us from decoupling the optimal system, the MFSLQ problem can still be solved explicitly using an extended Lagrange multiplier method. This method decomposes the MFSLQ control problem into two constrained SLQ control problems without mean-field terms. This talk is based on joint work with Professor Jie Xiong. |
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