A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps

DOI10.1007/S41980-023-00803-6OpenAlexW4386095740MaRDI QIDQ6071314

Imad Eddine Lakhdari, Khedidja Abba

Publication date: 23 November 2023

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41980-023-00803-6

zbMATH Keywords

stochastic maximum principlepartially observed optimal controlMcKean-Vlasov differential equationsderivative with respect to probability measuresforward-backward stochastic differential equations with jump processes

Mathematics Subject Classification ID

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

Cites Work

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• The maximum principle for partially observed optimal control problems of mean-field FBSDEs
• Maximum principle for optimal control of McKean‐Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law
• Optimal Control of Partially Observable Diffusions

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