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

DOI10.1002/ASJC.3025MaRDI QIDQ6583294FDOQ6583294

Authors: Teng Song 

Publication date: 6 August 2024

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

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zbMATH Keywords

optimal controlstochastic maximum principlemean-field modelsdiscrete-time stochastic systemsdiscrete-time backward stochastic equation

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Cites Work

• Convex Analysis
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• Optimal Stabilization Control for Discrete-Time Mean-Field Stochastic Systems
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• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• A new discrete analogue of Pontryagin's maximum principle
• Maximum principle for discrete-time stochastic control problem of mean-field type
• Mean field linear-quadratic control: uniform stabilization and social optimality
• First- and second-order necessary conditions with respect to components for discrete optimal control problems
• Necessary first-order and second-order optimality conditions in discrete-time stochastic systems
• Stabilization Control for Linear Continuous-Time Mean-Field Systems
• First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
• Discrete-time mean-field stochastic linear-quadratic optimal control problem with finite horizon

Cited In (2)

• Stochastic maximum principle for discrete time mean‐field optimal control problems
• The general maximum principle for discrete-time stochastic control problems

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