A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain

DOI10.1051/COCV/2023050zbMATH Open1521.93202OpenAlexW4383505022MaRDI QIDQ6138488FDOQ6138488

Authors: Tian Chen 

Publication date: 5 September 2023

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2023050

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zbMATH Keywords

Markov chainstochastic maximum principlemean-field controlpartial observationspike variation

Mathematics Subject Classification ID

Problems with incomplete information (optimization) (49N30) Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Mean field games and control (49N80)

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Cited In (3)

• A stochastic maximum principle for Markov chains of mean-field type
• The maximum principle for stochastic control problem with Markov chain in progressive structure
• A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure

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