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 principleMcKean-Vlasov stochastic systemoptimal continuous-singular controlprobability lawWasserstein space of probability measures

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Review text

Summary: In this paper, we study the local form of maximum principle for optimal stochastic continuous-singular control of nonlinear Itô stochastic differential equation of McKean-Vlasov type, with incomplete information. The coefficients of the system are nonlinear and depend on the state process as well as its probability law. The control variable is allowed to enter into both drift and diffusion coefficients. The action space is assumed to be convex. The proof of our local maximum principle is based on the differentiability with respect to the probability law in Wasserstein space of probability measures with some appropriate estimates.

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(4)

• Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
• On optimal singular control problem for general Mckean‐Vlasov differential equations: Necessary and sufficient optimality conditions
• 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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