A general stochastic maximum principle for SDEs of mean-field type

DOI10.1007/s00245-011-9136-yzbMath1245.49036MaRDI QIDQ649117

Boualem Djehiche, Rainer Buckdahn, Juan Li

Publication date: 30 November 2011

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

Full work available at URL: https://doi.org/10.1007/s00245-011-9136-y

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, On the relaxed mean-field stochastic control problem, Behavior Near Walls in the Mean-Field Approach to Crowd Dynamics, On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures, On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems, Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps, The maximum principle for partially observed optimal control problems of mean-field FBSDEs, Optimal control of mean-field backward doubly stochastic systems driven by Itô-Lévy processes, Mean-field optimal control as Gamma-limit of finite agent controls, Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective, Limit Theory for Controlled McKean--Vlasov Dynamics, Optimal control of mean-field jump-diffusion systems with noisy memory, Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics, Dynamic optimization of large-population systems with partial information, On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes, 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, 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, Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion, Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach, Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type, Discrete time McKean-Vlasov control problem: a dynamic programming approach, A stochastic maximum principle for general mean-field systems, Maximum principle for near-optimality of mean-field FBSDEs, Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales, Optimality conditions in variational form for non-linear constrained stochastic control problems, On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application, 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, Maximum principle of optimal stochastic control with terminal state constraint and its application in finance, 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, An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation, Controlled mean-field backward stochastic differential equations with jumps involving the value function, Discrete-time mean-field stochastic \(H_2/H_\infty\) control, On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information, Viability theorem for deterministic mean field type control systems, A stochastic maximum principle for Markov chains of mean-field type, Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs, Backward stochastic differential equations coupled with value function and related optimal control problems, Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle, A stochastic maximum principle for a stochastic differential game of a mean-field type, Equilibrium controls in time inconsistent stochastic linear quadratic problems, A stability property in mean field type differential games, 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, Mean-field-type games with jump and regime switching, Berge equilibrium in linear-quadratic mean-field-type games, Indefinite mean-field type linear-quadratic stochastic optimal control problems, A mean-field linear-quadratic stochastic Stackelberg differential game with one leader and two followers, Hierarchical structures and leadership design in mean-field-type games with polynomial cost, On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality, A mean-field necessary and sufficient conditions for optimal singular stochastic control, Krasovskii-Subbotin approach to mean field type differential games, Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability, Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications, Backward-forward linear-quadratic mean-field games with major and minor agents, A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-field type, 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, Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I, Mean-field-type games, 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, Existence and optimality conditions for relaxed mean-field stochastic control problems, 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, On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures, Necessary and Sufficient Near-Optimal Conditions for Mean-Field Singular Stochastic Controls, Output FeedbackH_∞Control for Discrete-time Mean-field Stochastic Systems, 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

• Unnamed Item
• Unnamed Item
• A maximum principle for SDEs of mean-field type
• Adapted solution of a backward stochastic differential equation
• Mean-field backward stochastic differential equations and related partial differential equations
• Mean-field backward stochastic differential equations: A limit approach
• Mean field games
• On the stochastic maximum principle. Fixed time of control
• The optimal control of diffusions
• A mean-field stochastic maximum principle via Malliavin calculus
• A General Stochastic Maximum Principle for Optimal Control Problems
• Nonlinear SDEs driven by L\'evy processes and related PDEs
• An Introductory Approach to Duality in Optimal Stochastic Control
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems