Mean-field stochastic linear quadratic control problem with random coefficients

In this paper, we first prove that the mean-field stochastic linear quadratic (MFSLQ) control problem with random coefficients has a unique optimal control and derive a preliminary stochastic maximum principle to characterize this optimal control by an optimality system. However, because of the term of the form EA () X () in the adjoint equation, which cannot be represented in the form EA () E X (), we cannot solve this optimality system explicitly. To this end, we decompose the MFSLQ control problem into two constrained SLQ control problems without the mean-field terms. These constrained SLQ control problems can be solved explicitly by an extended LaGrange multiplier method developed in this article.