A Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic   Differential Equations
  A Linear-quadratic optimal control problem is considered for mean-field stochastic differential equations with deterministic coefficients. By a variational method, the optimality system is derived, which turns out to be a linear mean-field forward-backward stochastic differential equation. Using a decoupling technique, two Riccati differential equations are obtained, which are uniquely solvable under certain conditions. Then a feedback representation is obtained for the optimal control. 
Jiongmin Yong
math.OC math.PR