A Global Optimality Principle for Fully Coupled Mean-field Control Systems (Q6489813)

scientific article; zbMATH DE number 7835597

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English	A Global Optimality Principle for Fully Coupled Mean-field Control Systems	scientific article; zbMATH DE number 7835597

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instance of

scholarly article

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title

A Global Optimality Principle for Fully Coupled Mean-field Control Systems (English)

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author

Tao Hao

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published in

Acta Mathematicae Applicatae Sinica. English Series

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publication date

22 April 2024

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MaRDI profile type

MaRDI publication profile

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cites work

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An Introductory Approach to Duality in Optimal Stochastic Control

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\(L^p\) solutions of backward stochastic differential equations.

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A stochastic maximum principle for general mean-field systems

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Mean-field backward stochastic differential equations and related partial differential equations

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Mean-field stochastic differential equations and associated PDEs

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A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria

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A Stochastic Maximum Principle for Delayed Mean-Field Stochastic Differential Equations and Its Applications

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Backward Stochastic Differential Equations in Finance

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A second-order stochastic maximum principle for generalized mean-field singular control problem

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Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem

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Mean-field SDEs with jumps and nonlocal integral-PDEs

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A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps

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Stochastic global maximum principle for optimization with recursive utilities

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A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems

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Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs

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A maximum principle for fully coupled stochastic control systems of mean-field type

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General mean-field BSDEs with continuous coefficients

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Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle

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A General Stochastic Maximum Principle for Optimal Control Problems

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Backward stochastic differential equations and applications to optimal control

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Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

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Bellman equation and viscosity solutions for mean-field stochastic control problem

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Mean-field backward stochastic differential equations driven by fractional Brownian motion

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Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance

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An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation

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A general maximum principle for optimal control of forward-backward stochastic systems

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Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions

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Identifiers

Mathematics Subject Classification ID

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10.1007/S10255-024-1112-9

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Sitelinks

Mathematics(1 entry)

mardi Publication:6489813