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

DOI10.1016/J.SYSCONLE.2016.12.009zbMATH Open1377.93173arXiv1702.00201OpenAlexW2580666303MaRDI QIDQ2407896FDOQ2407896

Brahim Mezerdi, Khaled Bahlali, Meriem Mezerdi

Publication date: 6 October 2017

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

Abstract: We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are measure-valued processes and the relaxed state process is driven by an orthogonal martingale measure, whose covariance measure is the relaxed control. This is a natural extension of the original strict control problem, for which we prove the existence of an optimal control. Then, we derive optimality necessary conditions for this problem, in terms of two adjoint processes extending the known results to the case of relaxed controls.

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

zbMATH Keywords

stochastic maximum principlemartingale measuremean-field stochastic differential equationvariational principlerelaxed controladjoint process

Mathematics Subject Classification ID

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

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Cited In (6)

• Necessary conditions for optimality in relaxed stochastic control problems
• On optimal control of coupled mean-field forward-backward stochastic equations
• Stability of McKean–Vlasov stochastic differential equations and applications
• McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
• The role of correlation in diffusion control ranking games
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon

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