A second-order stochastic maximum principle for generalized mean-field singular control problem
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stochastic maximum principlesingular controlmean-field control problemrange theorem of vector-valued measuresFréchet derivative
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by partial differential equations (93C20) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)
Abstract: In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hamiltonian function. In this case, we derive a second order SMP. We introduce the adjoint process by the generalized mean-field backward stochastic differential equation. The keys in the proofs are the expansion of the cost functional in terms of a perturbation parameter, and the use of the range theorem for vector-valued measures.
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Cited in
(8)- Singular optimal control problems with recursive utilities of mean-field type
- On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
- A second-order maximum principle for singular optimal stochastic controls
- Stochastic maximum principle for weighted mean-field system
- A second-order necessary condition for risk-sensitive mean-field type control
- A Global Optimality Principle for Fully Coupled Mean-field Control Systems
- A maximum principle for mean-field stochastic control system with noisy observation
- Second-order necessary condition for partially observed stochastic system with random jumps
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