A second-order stochastic maximum principle for generalized mean-field singular control problem

DOI10.3934/mcrf.2018018zbMath1405.93232arXiv1704.08002MaRDI QIDQ1713367

Peng Zhang

Publication date: 24 January 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.08002

zbMATH Keywords

stochastic maximum principle; Fréchet derivative; singular control; mean-field control problem; range theorem of vector-valued measures

Mathematics Subject Classification ID

93C20: Control/observation systems governed by partial differential equations

93E20: Optimal stochastic control

93E03: Stochastic systems in control theory (general)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

49K45: Optimality conditions for problems involving randomness