Stochastic control of memory mean-field processes

DOI10.1007/S00245-017-9425-1MaRDI QIDQ1734289zbMATH OpenOpenAlexFDO

Authors N. Agram, B. Øksendal

Publication date 27 March 2019

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

Full work available at URL https://arxiv.org/abs/1701.01801

zbMATH Keywords

memorystochastic maximum principlemean-field stochastic differential equationrandom probability measuresmean-variance problemlaw processoperator-valued absdepath segment spaces

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Abstract: By a memory mean-field process we mean the solution $X(cdot)$ of a stochastic mean-field equation involving not just the current state $X(t)$ and its law $mathcalL(X(t))$ at time $t$, but also the state values $X(s)$ and its law $mathcalL(X(s))$ at some previous times $s<t$. Our purpose is to study stochastic control problems of memory mean-field processes. - We consider the space $mathcalM$ of measures on $mathbbR$ with the norm $||cdot|{|}_{mathcalM}$ introduced by Agram and {O}ksendal in cite{AO1}, and prove the existence and uniqueness of solutions of memory mean-field stochastic functional differential equations. - We prove two stochastic maximum principles, one sufficient (a verification theorem) and one necessary, both under partial information. The corresponding equations for the adjoint variables are a pair of emph{(time-) advanced backward stochastic differential equations}, one of them with values in the space of bounded linear functionals on path segment spaces. - As an application of our methods, we solve a memory mean-variance problem as well as a linear-quadratic problem of a memory process.

Recommendations

• Exact controllability of stochastic differential equations with memory
• Correction to: ``Stochastic control of memory mean-field processes
• Control problems for Markov processes with memory
• Mean-field stochastic control with elephant memory in finite and infinite time horizon
• Optimal control of mean-field jump-diffusion systems with noisy memory
• Optimal control for stochastic heat equation with memory
• Optimal control of stochastic functional differential equations with a bounded memory
• Stability and Optimal Control of Stochastic Functional-Differential Equations With Memory
• Singular control optimal stopping of memory mean-field processes
• Discrete approximations of controlled stochastic systems with memory: a survey

Cites work

• scientific article; zbMATH DE number 3936125 (Why is no real title available?)
• A maximum principle for SDEs of mean-field type
• Anticipated backward stochastic differential equations
• Control of McKean-Vlasov dynamics versus mean field games
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Maximum principle for the stochastic optimal control problem with delay and application
• Mean-field backward stochastic differential equations and related partial differential equations
• Optimal control of forward-backward mean-field stochastic delayed systems
• Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
• Optimal control of predictive mean-field equations and applications to finance
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
• Partial Information Linear Quadratic Control for Jump Diffusions
• Singular mean-field control games
• Some existence results for advanced backward stochastic differential equations with a jump time
• Stochastic optimal control of McKean-Vlasov equations with anticipating law
• Stochastic systems with memory and jumps
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance

Cited in

(16)

• Maximum principle for delayed stochastic mean-field control problem with state constraint
• Stochastic sensitivity: a computable Lagrangian uncertainty measure for unsteady flows
• Mean-field FBSDE and optimal control
• Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations
• Mean-field-type games with jump and regime switching
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Infinite horizon impulse control of stochastic functional differential equations driven by Lévy processes
• A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator
• Singular control optimal stopping of memory mean-field processes
• Mean-field stochastic control with elephant memory in finite and infinite time horizon
• Optimal memoryless control in Gaussian noise: a simple counterexample
• Maximum principle for stochastic control system with elephant memory and jump diffusion
• Mean-field stochastic \(H_2/H_\infty\) control with delay
• Optimal stopping of conditional McKean-Vlasov jump diffusions
• A concise introduction to control theory for stochastic partial differential equations
• Stochastic optimal control of McKean-Vlasov equations with anticipating law

This page was built for publication: Stochastic control of memory mean-field processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1734289)