Optimal control of forward-backward mean-field stochastic delayed systems

DOI10.1007/s13370-017-0532-6zbMath1399.93235arXiv1412.5291OpenAlexW2964257048MaRDI QIDQ1703430

Nacira Agram, Elin Engen Røse

Publication date: 2 March 2018

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.5291

zbMATH Keywords

optimal controlHamiltonianstochastic maximum principlestochastic delay equationpartial informationmean-fieldadvanced backward stochastic equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

Related Items (10)

A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information ⋮ Mean-field stochastic control with elephant memory in finite and infinite time horizon ⋮ Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps ⋮ Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ Stochastic control of memory mean-field processes ⋮ Stochastic systems with memory and jumps ⋮ Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays ⋮ Stochastic optimal control of McKean-Vlasov equations with anticipating law ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays

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