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.
Huang, Linear-quadratic mean field games with a major player: Nash certainty equivalence versus master equations, Communications in Information and Systems, vol
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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.