Optimal control problem of conditional mean-field stochastic differential equations

DOI10.16205/J.CNKI.CAMA.2021.0007MaRDI QIDQ4998250zbMATH OpenFDO

Authors Shuang Wu

Publication date 1 July 2021

Full work available at URL https://doi.org/10.16205/J.CNKI.CAMA.2021.0007

zbMATH Keywords

backward stochastic differential equationconditional mean-field stochastic differential equationslinear quadratic optimal controlRiccati equationstochastic maximum principle

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(8)

• An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
• Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
• A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises
• An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
• Variational and optimal control representations of conditioned and driven processes
• Optimal control problem for risk-sensitive Mean-field stochastic delay differential equation with partial information
• Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model
• Moment estimates for a linear mean-field stochastic differential equation

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