A general stochastic maximum principle for discrete-time mean-field optimal controls

DOI10.1002/ASJC.3025MaRDI QIDQ6583294zbMATH OpenFDO

Authors Teng Song

Publication date 6 August 2024

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

Full work available at URL https://doi.org/10.1002/ASJC.3025

zbMATH Keywords

discrete-time backward stochastic equationdiscrete-time stochastic systemsmean-field modelsoptimal controlstochastic maximum principle

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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Cites work

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• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
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• Stochastic finance. An introduction in discrete time

Cited in

(4)

• Stochastic maximum principle for discrete time mean‐field optimal control problems
• The general maximum principle for discrete-time stochastic control problems
• Discrete-time approximate stochastic maximum principle
• Optimal quantized feedback control for linear quandratic Gaussian systems with input delay

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