Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory

DOI10.1080/00207179.2020.1800822zbMath1489.93133OpenAlexW3045407719MaRDI QIDQ5027382

Mahdieh Tahmasebi, A. S. Fatemion Aghda, Ali Delavarkhalafi

Publication date: 4 February 2022

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

Full work available at URL: https://doi.org/10.1080/00207179.2020.1800822

zbMATH Keywords

maximum principleinfinite horizonMalliavin calculusnoisy memorymean-fieldbackward stochastic optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays

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