On optimal solutions of general continuous-singular stochastic control problem of McKean-Vlasov type

DOI10.1002/MMA.6392MaRDI QIDQ5131606zbMATH OpenOpenAlexFDO

Authors Lina Guenane, Mokhtar Hafayed, Shahlar Meherrem, Syed Abbas

Publication date 9 November 2020

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.6392

zbMATH Keywords

maximum principleoptimal stochastic continuous-singular controlsecond-order derivative with respect to measurestochastic differential equation of McKean-Vlasov type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Recommendations

• On optimal singular control problem for general Mckean‐Vlasov differential equations: Necessary and sufficient optimality conditions
• Optimal continuous-singular control of stochastic McKean-Vlasov system in Wasserstein space of probability measures
• A mean-field necessary and sufficient conditions for optimal singular stochastic control
• Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
• Optimal control of general McKean-Vlasov stochastic evoulution equations on Hilbert spaces and necessary conditions of optimality

Cited in

(13)

• Optimal continuous-singular control of stochastic McKean-Vlasov system in Wasserstein space of probability measures
• A mean-field necessary and sufficient conditions for optimal singular stochastic control
• On optimal singular control problem for general Mckean‐Vlasov differential equations: Necessary and sufficient optimality conditions
• Near optimality of stochastic control for singularly perturbed McKean-Vlasov systems
• Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
• Compactification in optimal control of McKean‐Vlasov stochastic differential equations
• Optimal control of general McKean-Vlasov stochastic evoulution equations on Hilbert spaces and necessary conditions of optimality
• On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
• A general maximum principle for partially observed stochastic control problems with singular controls
• A stochastic maximum principle for general mean-field system with constraints
• Optimal strategies of regular-singular mean-field delayed stochastic differential games
• Optimal stochastic singular control for mixed delay differential game with Brownian noise and Teugels martingales
• On time delay optimal stochastic control problem of general McKean–Vlasov models with Poisson-jumps

This page was built for publication: On optimal solutions of general continuous-singular stochastic control problem of McKean-Vlasov type

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5131606)