On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures

DOI10.1080/00207179.2015.1079648zbMath1332.93376OpenAlexW1873176249MaRDI QIDQ2792730

Mokhtar Hafayed, Abdelmadjid Abba, Syed Abbas

Publication date: 14 March 2016

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2015.1079648

zbMATH Keywords

Lévy processesnecessary and sufficient conditions of optimalitysingular stochastic controlmean-field systemspartial-informationTeugels martingales measures

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (6)

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information ⋮ Maximum principle via Malliavin calculus for regular-singular stochastic differential games ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach ⋮ On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures ⋮ Infinite horizon optimal control of forward–backward stochastic system driven by Teugels martingales with Lévy processes

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