Maximum principle for discrete-time stochastic control problem of mean-field type

DOI10.1016/j.automatica.2022.110497zbMath1498.93774OpenAlexW4286610448WikidataQ114204740 ScholiaQ114204740MaRDI QIDQ2166009

Tianyang Nie, Zhen Wu, Bozhang Dong

Publication date: 23 August 2022

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2022.110497

zbMATH Keywords

maximum principlediscrete-time systemmean-variance portfolio selection problemmean-field stochastic difference equation

Mathematics Subject Classification ID

Variational inequalities (49J40) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Portfolio theory (91G10) Stochastic difference equations (39A50)

Related Items (5)

Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls ⋮ A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Stochastic maximum principle for discrete time mean‐field optimal control problems

Cites Work

• Unnamed Item
• Control of McKean-Vlasov dynamics versus mean field games
• A stochastic maximum principle for general mean-field systems
• A maximum principle for SDEs of mean-field type
• A general stochastic maximum principle for SDEs of mean-field type
• Mathematics of financial markets.
• Mean-field backward stochastic differential equations and related partial differential equations
• Maximum principle of discrete stochastic control system driven by both fractional noise and white noise
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case
• A general theory of finite state backward stochastic difference equations
• Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Discrete-time indefinite LQ control with state and control dependent noises
• Stochastic maximum principle in the mean-field controls
• A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
• Maximum principle for discrete-time stochastic optimal control problem and stochastic game
• Discrete time mean-field stochastic linear-quadratic optimal control problems
• A maximum principle for stochastic control systems
• A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
• A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• A General Stochastic Maximum Principle for Optimal Control Problems
• Optimal Stabilization Control for Discrete-Time Mean-Field Stochastic Systems
• Extended mean-field control problem with partial observation
• Probabilistic Theory of Mean Field Games with Applications I
• General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
• A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Stochastic finance. An introduction in discrete time

This page was built for publication: Maximum principle for discrete-time stochastic control problem of mean-field type