On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes

DOI10.1007/s10957-015-0762-4zbMath1341.49030OpenAlexW2293485771MaRDI QIDQ262019

Mokhtar Hafayed, Syed Abbas, Abdelmadjid Abba

Publication date: 29 March 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-015-0762-4

zbMATH Keywords

Lévy processesBrownian motionfeedback controloptimal stochastic controlmean-field stochastic differential equationmean-field-type maximum principleTeugels martingales

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal feedback synthesis (49N35) Feedback control (93B52) Brownian motion (60J65) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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