Optimal continuous-singular control of stochastic McKean-Vlasov system in Wasserstein space of probability measures

MaRDI QIDQ2103058zbMATH OpenFDO

Authors Samira Boukaf, Lina Guenane, Mokhtar Hafayed

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

zbMATH Keywords

maximum principleprobability lawMcKean-Vlasov stochastic systemoptimal continuous-singular controlWasserstein space of probability measures

Mathematics Subject Classification ID

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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Cited in

(4)

• Compactification in optimal control of McKean‐Vlasov stochastic differential equations
• 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

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