Mean-field, infinite horizon, optimal control of nonlinear stochastic delay system governed by Teugels martingales associated with Lévy processes
DOI10.1007/s40304-018-0143-zzbMath1419.49008OpenAlexW2883538208MaRDI QIDQ2316092
Publication date: 26 July 2019
Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40304-018-0143-z
infinite horizonLévy processesstochastic maximum principleTeugels martingalesmean-fieldbackward stochastic delay differential equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Maximum principles in context of PDEs (35B50) Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15)
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