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

DOI10.3934/mcrf.2018018zbMath1405.93232arXiv1704.08002OpenAlexW2963004947MaRDI QIDQ1713367

Peng Zhang

Publication date: 24 January 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.08002

zbMATH Keywords

stochastic maximum principleFréchet derivativesingular controlmean-field control problemrange theorem of vector-valued measures

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

Related Items (2)

Stochastic maximum principle for weighted mean-field system ⋮ A maximum principle for mean-field stochastic control system with noisy observation

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