Mean-field stochastic control with elephant memory in finite and infinite time horizon

DOI10.1080/17442508.2019.1635600zbMATH Open1492.60146arXiv1804.09918OpenAlexW2963687979MaRDI QIDQ5087041FDOQ5087041

Authors: N. Agram, B. Øksendal 

Publication date: 8 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: Our purpose of this paper is to study stochastic control problem for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the system (like the elephants) never forgets its history. We study both the finite horizon case and the infinite time horizon case. - In the finite horizon case, results about existence and uniqueness of solutions of such a system are given. Moreover, we prove sufficient as well as necessary stochastic maximum principles for the optimal control of such systems. We apply our results to solve a mean-field linear quadratic control problem. - For infinite horizon, we derive sufficient and necessary maximum principles. As an illustration, we solve an optimal consumption problem from a cash flow modelled by an elephant memory mean-field system.

Full work available at URL: https://arxiv.org/abs/1804.09918

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zbMATH Keywords

backward stochastic differential equationmemorypartial informationstochastic maximum principlemean-field stochastic differential equation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Jump processes on general state spaces (60J76)

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Cited In (4)

• Maximum principle for stochastic control system with elephant memory and jump diffusion
• Stochastic control of memory mean-field processes
• Maximum principle for stochastic optimal control problem with distributed delays
• Stochastic maximum principle for optimal continuous and impulse controls of infinite horizon delay system

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