The relaxed optimal control problem for mean-field SDEs systems and application

DOI10.1016/J.AUTOMATICA.2013.12.022MaRDI QIDQ462385zbMATH OpenOpenAlexFDO

Authors Adel Chala

Publication date 20 October 2014

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2013.12.022

zbMATH Keywords

adjoint equationstochastic maximum principlevariational inequalitymean-field stochastic differential equationrelaxed controllinear quadratic controls

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(12)

• Existence and optimality conditions for relaxed mean-field stochastic control problems
• Actor-critic reinforcement learning algorithms for mean field games in continuous time, state and action spaces
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
• On the relaxed mean-field stochastic control problem
• Near-relaxed control problem of fully coupled forward-backward doubly system
• scientific article; zbMATH DE number 6318453 (Why is no real title available?)
• Existence of optimal controls for systems governed by mean-field stochastic differential equations
• On optimal control of coupled mean-field forward-backward stochastic equations
• Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
• Linear-quadratic mean field stochastic zero-sum differential games
• McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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