On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
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Publication:2251570
DOI10.1007/s10957-013-0361-1zbMath1292.93147arXiv1301.7327MaRDI QIDQ2251570
Publication date: 14 July 2014
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.7327
Ekeland's variational principle; generalized gradient; mean-field stochastic differential equations; near-optimal singular stochastic control; necessary and sufficient conditions of near-optimality
90C15: Stochastic programming
93C10: Nonlinear systems in control theory
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
49K45: Optimality conditions for problems involving randomness
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