Derives two sets of sufficient conditions for solvability of multidimensional stochastic LQ control with random coefficients and terminal mean-field cost, weaker than prior work when coefficients are deterministic, plus a portfolio-selection example.
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Stochastic LQ Optimal Control with Random Coefficients and a Terminal Mean-Field Cost
Derives two sets of sufficient conditions for solvability of multidimensional stochastic LQ control with random coefficients and terminal mean-field cost, weaker than prior work when coefficients are deterministic, plus a portfolio-selection example.