Singular optimal control problems with recursive utilities of mean-field type

DOI10.1002/ASJC.2307MaRDI QIDQ6578418FDOQ6578418

Authors: Tao Hao, Qingxin Meng 

Publication date: 25 July 2024

Published in: Asian Journal of Control (Search for Journal in Brave)

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zbMATH Keywords

singular optimal controlvariational equationmean-filed control systemsecond-order adjoint systemsecond-order stochastic maximum principle

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cites Work

• A General Stochastic Maximum Principle for Optimal Control Problems
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• Backward Stochastic Differential Equations in Finance
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• The High Order Maximal Principle and Its Application to Singular Extremals
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• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
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• A stochastic maximum principle for general mean-field systems
• Second-order necessary conditions for optimal control with recursive utilities
• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
• Stochastic global maximum principle for optimization with recursive utilities
• A second-order stochastic maximum principle for generalized mean-field singular control problem
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• On optimal singular control problem for general Mckean‐Vlasov differential equations: Necessary and sufficient optimality conditions

Cited In (3)

• Stability of a mean field game of production adjustment
• On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
• A second-order necessary condition for risk-sensitive mean-field type control

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