The relaxed optimal control problem for mean-field SDEs systems and application
DOI10.1016/J.AUTOMATICA.2013.12.022zbMATH Open1298.93354OpenAlexW2006809827MaRDI QIDQ462385FDOQ462385
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
adjoint equationstochastic maximum principlevariational inequalitymean-field stochastic differential equationrelaxed controllinear quadratic controls
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)
Cites Work
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Cited In (9)
- 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
- Title not available (Why is that?)
- Near-relaxed control problem of fully coupled forward-backward doubly system
- 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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