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

DOI10.1016/j.automatica.2013.12.022zbMath1298.93354OpenAlexW2006809827MaRDI QIDQ462385

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

variational inequalitystochastic maximum principleadjoint equationmean-field stochastic differential equationrelaxed controllinear quadratic controls

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)

Related Items

Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ Near-relaxed control problem of fully coupled forward-backward doubly system ⋮ Linear-quadratic mean field stochastic zero-sum differential games ⋮ On the relaxed mean-field stochastic control problem ⋮ Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps ⋮ Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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