A mean-field necessary and sufficient conditions for optimal singular stochastic control

DOI10.1007/s40304-014-0023-0zbMath1306.93076OpenAlexW2071650267MaRDI QIDQ2254361

Mokhtar Hafayed

Publication date: 4 February 2015

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-014-0023-0

zbMATH Keywords

mean-field stochastic maximum principleconvex perturbationMcKean-Vlasov stochastic differential equations (SDEs)mean-field necessary and sufficient conditions of optimalitystochastic optimal singular control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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