Mean-Field Stochastic Linear-Quadratic Optimal Controls: Roles of Expectation and Conditional Expectation Operators
Abstract
This paper investigates a mean-field linear-quadratic optimal control problem where the state dynamics and cost functional incorporate both expectation and conditional expectation terms. We explicitly derive the pre-committed, naïve, and equilibrium solutions and establish the well-posedness of the associated Riccati equations. This reveals how the expectation and conditional expectation operators influence time-consistency.