Optimal control of mean-field jump-diffusion systems with noisy memory

DOI10.1080/00207179.2017.1370556MaRDI QIDQ5382596zbMATH OpenOpenAlexFDO

Authors Bin Liu, Heping Ma

Publication date 18 June 2019

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2017.1370556

zbMATH Keywords

jump diffusionMalliavin calculusmaximum principlemean-fieldnoisy memory

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Linear-quadratic optimal control problems (49N10)

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Cites work

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Cited in

(14)

• Stochastic control of memory mean-field processes
• Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
• A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
• Sufficient maximum principle for stochastic optimal control problems with general delays
• Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
• Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory
• Mean-field stochastic control with elephant memory in finite and infinite time horizon
• A general stochastic maximum principle for discrete-time mean-field optimal controls
• Stochastic intervention control of mean-field jump system with noisy observation via L-derivatives with application to finance
• Sufficient maximum principle for partially observed mean-field stochastic optimal control problems with delays
• Maximum principle for partial information non-zero sum stochastic differential games with mixed delays
• General maximum principle for optimal control problems of stochastic systems with delay: an Ekeland's variational principle method
• Pareto optimality of stochastic cooperative differential game with general delays in finite horizon
• Optimal memoryless control in Gaussian noise: a simple counterexample

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