On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information

DOI10.1007/s11424-016-5237-7zbMath1381.93106OpenAlexW2561598166MaRDI QIDQ1697738

Qing Zhou, Weixing Wu, Yong Ren

Publication date: 20 February 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-016-5237-7

zbMATH Keywords

maximum principleMalliavin calculusGirsanov's theorempartial informationforward-backward stochastic differential equationjump diffusionmean-field type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (4)

Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps ⋮ A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure ⋮ A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain

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