Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information

DOI10.1016/j.ejcon.2017.04.001zbMath1506.93102OpenAlexW2606270921WikidataQ115353983 ScholiaQ115353983MaRDI QIDQ1663007

Bin Liu, He-Ping Ma

Publication date: 21 August 2018

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

Full work available at URL: https://doi.org/10.1016/j.ejcon.2017.04.001

zbMATH Keywords

infinite horizonstochastic maximum principlepartial informationmean-field modelbackward stochastic differential delay equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50)

Related Items (7)

Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes ⋮ A Stackelberg game of backward stochastic differential equations with partial information ⋮ Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon ⋮ Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory

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