A maximum principle for SDEs of mean-field type

DOI10.1007/s00245-010-9123-8zbMath1215.49034MaRDI QIDQ538473

Publication date: 25 May 2011

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-010-9123-8

zbMATH Keywords

maximum principle; stochastic control; McKean-Vlasov equation; mean-field SDE; time inconsistent control

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

Related Items

Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics, Mean-Field Type Modeling of Nonlocal Crowd Aversion in Pedestrian Crowd Dynamics, On the relaxed mean-field stochastic control problem, Mean Field Control and Mean Field Game Models with Several Populations, Positional strategies in mean-field control problems on a finite state space, Limit Theory for Controlled McKean--Vlasov Dynamics, Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays, Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance, Optimal control of mean-field jump-diffusion systems with noisy memory, Dynamic programming for mean-field type control, Dynamic programming for mean-field type control, Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics, Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix, On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes, Mean-field stochastic linear-quadratic optimal control with Markov jump parameters, Linear-quadratic mean field games, A characterization of sub-game perfect equilibria for SDEs of mean-field type, Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints, Control of McKean-Vlasov dynamics versus mean field games, Nonlinear diffusions and stable-like processes with coefficients depending on the median or var, A stochastic maximum principle in mean-field optimal control problems for jump diffusions, The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem, Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance, The relaxed optimal control problem for mean-field SDEs systems and application, Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach, Discrete time McKean-Vlasov control problem: a dynamic programming approach, A general stochastic maximum principle for SDEs of mean-field type, Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics, A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon, Risk-sensitive mean-field-type games with $L^p$-norm drifts, Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case, Leader-follower stochastic differential game with asymmetric information and applications, Pareto-based guaranteed cost control of the uncertain mean-field stochastic systems in infinite horizon, Finite horizon mean-field stochastic $H_2/H_\infty$ control for continuous-time systems with $(x,v)$-dependent noise, Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information, Discrete-time mean field partially observable controlled systems subject to common noise, A maximum principle for mean-field SDEs with time change, Mean-field Pontryagin maximum principle, Discrete-time mean-field stochastic $H_2/H_\infty$ control, Optimal control of forward-backward mean-field stochastic delayed systems, Viability theorem for deterministic mean field type control systems, Mean-field type games between two players driven by backward stochastic differential equations, Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs, Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle, Study on stability and stabilizability of discrete-time mean-field stochastic systems, Steering the distribution of agents in mean-field games system, Stochastic control of memory mean-field processes, Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint, Stochastic control for mean-field stochastic partial differential equations with jumps, A stochastic maximum principle for a stochastic differential game of a mean-field type, Stochastic maximum principle in the mean-field controls, Linear quadratic mean-field-game of backward stochastic differential systems, Forward and backward mean-field stochastic partial differential equation and optimal control, Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs, On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality, Second-order necessary conditions for optimal control with recursive utilities, Linear quadratic optimal control problems for mean-field backward stochastic differential equations, A mean-field optimal control formulation of deep learning, Stochastic optimal control of McKean-Vlasov equations with anticipating law, A maximum principle for fully coupled stochastic control systems of mean-field type, A probabilistic weak formulation of mean field games and applications, Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem, A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises, Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance, Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps, A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes, Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon, A mean field capital accumulation game with HARA utility, On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players, Risk-Sensitive Mean-Field Type Control Under Partial Observation, Continuous time mean-variance portfolio optimization through the mean field approach, Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type, A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type, Bellman equation and viscosity solutions for mean-field stochastic control problem

Cites Work