Stochastic control of memory mean-field processes

DOI10.1007/s00245-017-9425-1zbMath1411.60081arXiv1701.01801OpenAlexW2964171337MaRDI QIDQ1734289

Nacira Agram, Bernt Øksendal

Publication date: 27 March 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01801

zbMATH Keywords

stochastic maximum principlerandom probability measuresmemorymean-field stochastic differential equationmean-variance problemlaw processoperator-valued absdepath segment spaces

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (11)

Mean-field-type games with jump and regime switching ⋮ Maximum principle for delayed stochastic mean-field control problem with state constraint ⋮ Singular Control Optimal Stopping of Memory Mean-Field Processes ⋮ Stochastic Sensitivity: A Computable Lagrangian Uncertainty Measure for Unsteady Flows ⋮ A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator ⋮ Mean-field FBSDE and optimal control ⋮ Stochastic optimal control of McKean-Vlasov equations with anticipating law ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs ⋮ Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations ⋮ A concise introduction to control theory for stochastic partial differential equations ⋮ Mean-field stochastic H₂/H_∞ control with delay

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