Maximum principle for optimal control of McKean‐Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law

DOI10.1002/OCA.2490zbMath1425.93304OpenAlexW2918976985MaRDI QIDQ5241026

Shahlar Meherrem, Mokhtar Hafayed

Publication date: 29 October 2019

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2490

zbMATH Keywords

maximum principleoptimal stochastic controlTeugels martingalesderivative with respect to probability lawMcKean-Vlasov forward-backward stochastic systems with Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (5)

Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps ⋮ Extended mean-field control problem with partial observation ⋮ A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach ⋮ Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations

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