Mean-field stochastic control with elephant memory in finite and infinite time horizon
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Publication:5087041
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.
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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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