Optimal continuous-singular control of stochastic McKean-Vlasov system in Wasserstein space of probability measures
zbMATH Open1502.49020MaRDI QIDQ2103058FDOQ2103058
Authors: Samira Boukaf, Lina Guenane, Mokhtar Hafayed Edit this on Wikidata
Publication date: 13 December 2022
Published in: International Journal of Dynamical Systems and Differential Equations (Search for Journal in Brave)
Full work available at URL: https://www.inderscienceonline.com/doi/10.1504/IJDSDE.2022.126543
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maximum principleprobability lawMcKean-Vlasov stochastic systemoptimal continuous-singular controlWasserstein space of probability measures
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)
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- On optimal singular control problem for general Mckean‐Vlasov differential equations: Necessary and sufficient optimality conditions
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- On optimal solutions of general continuous-singular stochastic control problem of McKean-Vlasov type
- Compactification in optimal control of McKean‐Vlasov stochastic differential equations
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