A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps (Q5854379): Difference between revisions

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scientific article; zbMATH DE number 7323749

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English	A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps	scientific article; zbMATH DE number 7323749

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instance of

scholarly article

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title

A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps (English)

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ESAIM: Control, Optimisation and Calculus of Variations

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publication date

17 March 2021

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full work available at URL

https://arxiv.org/abs/1801.03203

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zbMATH Keywords

stochastic control

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global maximum principle

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general mean-field forward-backward stochastic differential equation with jumps

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MaRDI profile type

MaRDI publication profile

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cites work

Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

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Conjugate convex functions in optimal stochastic control

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A general stochastic maximum principle for SDEs of mean-field type

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Mean-field backward stochastic differential equations: A limit approach

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A stochastic maximum principle for general mean-field systems

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Mean-field backward stochastic differential equations and related partial differential equations

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Mean-field stochastic differential equations and associated PDEs

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Probabilistic Analysis of Mean-Field Games

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Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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Control of McKean-Vlasov dynamics versus mean field games

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Backward Stochastic Differential Equations in Finance

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Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

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Periods of continuous maps on some compact spaces

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Q4726159

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Stochastic global maximum principle for optimization with recursive utilities

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Q3236483

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Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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Mean field games

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Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs

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Stochastic differential games for fully coupled FBSDEs with jumps

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\(L^p\) estimates for fully coupled FBSDEs with jumps

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A General Stochastic Maximum Principle for Optimal Control Problems

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Q2712232

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Theory of stochastic differential equations with jumps and applications.

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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A general maximum principle for optimal control of forward-backward stochastic systems

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Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

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Q4255599

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Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint

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Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case

0 references

Some results on pointwise second-order necessary conditions for stochastic optimal controls

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Identifiers

zbMATH Open document ID

1460.93109

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DOI

10.1051/cocv/2020008

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5854379

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+.03203
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@@ Property / cites work @@
+Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+A general stochastic maximum principle for SDEs of mean-field type
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations: A limit approach
+Normal rank
@@ Property / cites work @@
+A stochastic maximum principle for general mean-field systems
+Normal rank
@@ Property / cites work @@
+Mean-field backward stochastic differential equations and related partial differential equations
+Normal rank
@@ Property / cites work @@
+Mean-field stochastic differential equations and associated PDEs
+Normal rank
@@ Property / cites work @@
+Probabilistic Analysis of Mean-Field Games
@@ Property / cites work: Probabilistic Analysis of Mean-Field Games / rank @@
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
+Normal rank
@@ Property / cites work @@
+Control of McKean-Vlasov dynamics versus mean field games
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
+Normal rank
@@ Property / cites work @@
+Periods of continuous maps on some compact spaces
@@ Property / cites work: Periods of continuous maps on some compact spaces / rank @@
+Normal rank
@@ Property / cites work @@
+Q4726159
@@ Property / cites work: Q4726159 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic global maximum principle for optimization with recursive utilities
+Normal rank
@@ Property / cites work @@
+Q3236483
@@ Property / cites work: Q3236483 / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
+Normal rank
@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
+Normal rank
@@ Property / cites work @@
+Stochastic differential games for fully coupled FBSDEs with jumps
+Normal rank
@@ Property / cites work @@
+\(L^p\) estimates for fully coupled FBSDEs with jumps
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Q2712232
@@ Property / cites work: Q2712232 / rank @@
+Normal rank
@@ Property / cites work @@
+Theory of stochastic differential equations with jumps and applications.
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+A general maximum principle for optimal control of forward-backward stochastic systems
+Normal rank
@@ Property / cites work @@
+Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint
+Normal rank
@@ Property / cites work @@
+Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case
+Normal rank
@@ Property / cites work @@
+Some results on pointwise second-order necessary conditions for stochastic optimal controls
+Normal rank