On the relaxed mean-field stochastic control problem

DOI10.1142/S0219493718500247zbMath1391.93293arXiv1702.00464OpenAlexW2963726048MaRDI QIDQ4642385

Meriem Mezerdi, Brahim Mezerdi, Khaled Bahlali

Publication date: 23 May 2018

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00464

zbMATH Keywords

weak convergenceapproximationtightnessmartingale measuremean-field stochastic differential equationrelaxed control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

A Constructive Approach to Existence of Equilibria in Time-Inconsistent Stochastic Control Problems ⋮ Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ Stability of McKean–Vlasov stochastic differential equations and applications ⋮ Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon ⋮ The stochastic maximum principle for relaxed control problem with regime-switching ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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