Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach

DOI10.1016/j.cam.2014.10.011zbMath1312.49028OpenAlexW2085055504MaRDI QIDQ482662

Yang Shen, Qingxin Meng

Publication date: 6 January 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.10.011

zbMATH Keywords

optimal controlstochastic maximum principlebackward stochastic differential equationstochastic delay differential equationmean-field jump-diffusion systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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