Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps (Q2415098): Difference between revisions

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scientific article

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English	Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps	scientific article

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scholarly article

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Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps (English)

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European Journal of Control

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publication date

20 May 2019

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zbMATH Keywords

infinite horizon

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optimal control

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mean-field type

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stochastic differential delay equations

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Poisson jumps

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejcon.2018.04.003

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A Maximum Principle for Infinite Horizon Delay Equations

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Infinite horizon optimal control of forward-backward stochastic differential equations with delay

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Optimal control of forward-backward mean-field stochastic delayed systems

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A maximum principle for SDEs of mean-field type

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

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

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Maximum principle for the stochastic optimal control problem with delay and application

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A Stochastic Maximum Principle for Delayed Mean-Field Stochastic Differential Equations and Its Applications

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

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Maximum principles for jump diffusion processes with infinite horizon

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Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem

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Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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Mean field games

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Stochastic maximum principle in the mean-field controls

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A maximum principle for fully coupled stochastic control systems of mean-field type

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Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type

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Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach

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A mean-field stochastic maximum principle via Malliavin calculus

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Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps

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Adapted solution of a backward stochastic differential equation

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Backward stochastic differential equations and applications to optimal control

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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control

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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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Global maximum principle for the forward-backward stochastic optimal control problem with poisson jumps

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Propagation of chaos in neural fields

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Optimal control problem of backward stochastic differential delay equation under partial information

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

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Identifiers

zbMATH Open document ID

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10.1016/j.ejcon.2018.04.003

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2415098

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