A decomposition method reduces LQ conditional McKean-Vlasov control problems with random coefficients to two decoupled stochastic optimal control problems whose optimal controls sum to the original optimum.
Tang, General linear quadratic optimal stochastic control problems with random coefficients: Linear stochastic Hamilton systems and backward stochastic Riccati equations, SIAM J
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A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
A decomposition method reduces LQ conditional McKean-Vlasov control problems with random coefficients to two decoupled stochastic optimal control problems whose optimal controls sum to the original optimum.