A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
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Publication:5126412
DOI10.1051/cocv/2019055zbMath1460.60082OpenAlexW2971948584MaRDI QIDQ5126412
Son Luu Nguyen, George Yin, Dung Tien Nguyen
Publication date: 16 October 2020
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/cocv/2019055
Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Diffusion processes (60J60) Optimality conditions for problems involving randomness (49K45) Mean field games and control (49N80)
Related Items (10)
Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls ⋮ Stochastic maximum principle for hybrid optimal control problems under partial observation ⋮ Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model ⋮ Linear-quadratic delayed mean-field social optimization ⋮ Mean field control and finite agent approximation for regime-switching jump diffusions ⋮ Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Markovian-switching systems: backward and forward-backward stochastic differential equations, mean-field interactions, and nonzero-sum differential games ⋮ Linear quadratic mean-field game with volatility uncertainty ⋮ Switching diffusions with mean-field interactions: limit results, maximum principle, and non-Markov systems ⋮ Controlled Markov chains with non-exponential discounting and distribution-dependent costs
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