A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure (Q6099170): Difference between revisions

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scientific article; zbMATH DE number 7697841

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English	A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure	scientific article; zbMATH DE number 7697841

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scholarly article

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title

A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure (English)

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Mathematical Control and Related Fields

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publication date

19 June 2023

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zbMATH Keywords

partial observation

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stochastic control

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maximum principle

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spike variation

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adjoint equation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/mcrf.2022012

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cites work

A maximum principle for SDEs of mean-field type

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

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An Introductory Approach to Duality in Optimal Stochastic Control

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

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The Maximum Principle for Optimal Control of Diffusions with Partial Information

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Stochastic global maximum principle for optimization with recursive utilities

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The maximum principle for partially observed optimal control problems of mean-field FBSDEs

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General necessary conditions for partially observed optimal stochastic controls

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A mean-field stochastic maximum principle via Malliavin calculus

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A General Stochastic Maximum Principle for Optimal Control Problems

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Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance

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The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem

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The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps

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Mean-field linear-quadratic stochastic differential games

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The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system

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The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

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

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

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Stochastic maximum principle for optimal control problem of forward and backward system

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A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type

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On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information

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On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations

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Identifiers

zbMATH Open document ID

1518.93153

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DOI

10.3934/mcrf.2022012

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6099170

@@ Property / cites work @@
+A maximum principle for SDEs of mean-field type
@@ Property / cites work: A maximum principle for SDEs of mean-field type / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions
+Normal rank
@@ Property / cites work @@
+An Introductory Approach to Duality 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 @@
+The Maximum Principle for Optimal Control of Diffusions with Partial Information
+Normal rank
@@ Property / cites work @@
+Stochastic global maximum principle for optimization with recursive utilities
+Normal rank
@@ Property / cites work @@
+The maximum principle for partially observed optimal control problems of mean-field FBSDEs
+Normal rank
@@ Property / cites work @@
+General necessary conditions for partially observed optimal stochastic controls
+Normal rank
@@ Property / cites work @@
+A mean-field stochastic maximum principle via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
+Normal rank
@@ Property / cites work @@
+The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Mean-field linear-quadratic stochastic differential games
+Normal rank
@@ Property / cites work @@
+The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
+Normal rank
@@ Property / cites work @@
+The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
+Normal rank
@@ Property / cites work @@
+A maximum principle for partially observed optimal control of forward-backward stochastic control systems
+Normal rank
@@ Property / cites work @@
+A general maximum principle for optimal control of forward-backward stochastic systems
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle for optimal control problem of forward and backward system
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type
+Normal rank
@@ Property / cites work @@
+On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information
+Normal rank
@@ Property / cites work @@
+On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
+Normal rank