Stochastic control of memory mean-field processes

DOI10.1007/s00245-017-9425-1zbMath1411.60081arXiv1701.01801OpenAlexW2964171337MaRDI QIDQ1734289

Nacira Agram, Bernt Øksendal

Publication date: 27 March 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01801

zbMATH Keywords

stochastic maximum principlerandom probability measuresmemorymean-field stochastic differential equationmean-variance problemlaw processoperator-valued absdepath segment spaces

Mathematics Subject Classification ID

Related Items (11)

Mean-field-type games with jump and regime switching ⋮ Maximum principle for delayed stochastic mean-field control problem with state constraint ⋮ Singular Control Optimal Stopping of Memory Mean-Field Processes ⋮ Stochastic Sensitivity: A Computable Lagrangian Uncertainty Measure for Unsteady Flows ⋮ A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator ⋮ Mean-field FBSDE and optimal control ⋮ Stochastic optimal control of McKean-Vlasov equations with anticipating law ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs ⋮ Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations ⋮ A concise introduction to control theory for stochastic partial differential equations ⋮ Mean-field stochastic H₂/H_∞ control with delay

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