Stochastic control for mean-field stochastic partial differential equations with jumps

DOI10.1007/S10957-018-1243-3zbMATH Open1391.60156arXiv1704.03430OpenAlexW2788372359MaRDI QIDQ1752638FDOQ1752638

Roxana Dumitrescu, B. Øksendal, Agnès Sulem

Publication date: 24 May 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Abstract: We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of extit{partial information} control. One important novelty of our problem is represented by the introduction of extit{general mean-field} operators, acting on both the controlled state process and the control process. We first formulate a sufficient and a necessary maximum principle for this type of control. We then prove existence and uniqueness of the solution of such general forward and backward mean-field stochastic partial differential equations. We finally apply our results to find the explicit optimal control for an optimal harvesting problem.

Full work available at URL: https://arxiv.org/abs/1704.03430

zbMATH Keywords

optimal controlmean-field backward stochastic partial differential equationmean-field stochastic partial differential equationstochastic maximum principles

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Optimal stochastic control (93E20)

Cites Work

• Mean field forward-backward stochastic differential equations
• A concise course on stochastic partial differential equations
• A maximum principle for SDEs of mean-field type
• Mean-field backward stochastic differential equations and related partial differential equations
• Stochastic evolution equations of jump type: Existence, uniqueness and large deviation princi\-ples
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• Mean-field stochastic differential equations and associated PDEs
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• Mean-field-type games with jump and regime switching

Cited In (6)

• A concise introduction to control theory for stochastic partial differential equations
• Title not available (Why is that?)
• Applied stochastic control of jump diffusions
• A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator
• Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations
• On mean-field super-Brownian motions

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