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

DOI10.3934/MCRF.2018018zbMATH Open1405.93232arXiv1704.08002OpenAlexW2963004947MaRDI QIDQ1713367FDOQ1713367

Authors: Peng Zhang 

Publication date: 24 January 2019

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

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.

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

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zbMATH Keywords

stochastic maximum principlesingular controlmean-field control problemrange theorem of vector-valued measuresFréchet derivative

Mathematics Subject Classification ID

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)

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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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