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)

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Cited in

(8)

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

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