Existence and optimality conditions for relaxed mean-field stochastic control problems

DOI10.1016/j.sysconle.2016.12.009zbMath1377.93173arXiv1702.00201OpenAlexW2580666303MaRDI QIDQ2407896

Brahim Mezerdi, Meriem Mezerdi, Khaled Bahlali

Publication date: 6 October 2017

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00201

zbMATH Keywords

variational principlestochastic maximum principlemartingale measuremean-field stochastic differential equationrelaxed controladjoint process

Mathematics Subject Classification ID

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

Related Items (3)

Stability of McKean–Vlasov stochastic differential equations and applications ⋮ Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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