Infinite horizon optimal control for mean-field stochastic delay systems driven by Teugels martingales under partial information

DOI10.1002/OCA.2602MaRDI QIDQ5003597zbMATH OpenOpenAlexFDO

Authors Bixuan Yang, Jinbiao Wu

Publication date 22 July 2021

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.2602

zbMATH Keywords

mean-field anticipated backward stochastic differential equationmean-field stochastic differential delay equationstochastic maximum principlestochastic optimal controlteugels martingale

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

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Cited in

(11)

• Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
• A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise
• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
• Infinite horizon optimal control of forward-backward stochastic system driven by Teugels martingales with Lévy processes
• On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
• LQ control of forward and backward stochastic difference system
• The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon
• Receding horizon control for continuous-time mean-field systems
• Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system
• Fully coupled mean-field forward-backward stochastic differential games under model uncertainty
• Maximum principle for optimal control of fully coupled mean-field forward-backward stochastic differential equations with Teugels martingales under partial observation

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