Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon
DOI10.1515/rose-2022-2081zbMath1499.60203OpenAlexW4281804548WikidataQ114052699 ScholiaQ114052699MaRDI QIDQ2090570
Abdallah Roubi, Mohamed Amine Mezerdi
Publication date: 25 October 2022
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose-2022-2081
infinite horizonHamiltonianstochastic maximum principlebackward stochastic differential equationmean-field stochastic differential equationadjoint process
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Stochastic calculus of variations and the Malliavin calculus (60H07)
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