Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps

DOI10.1080/00207179.2021.1961020zbMath1505.93288OpenAlexW3187993482WikidataQ115310044 ScholiaQ115310044MaRDI QIDQ5056555

Hakima Miloudi, Mokhtar Hafayed, Imad Eddine Lakhdari, Shahlar Meherrem

Publication date: 8 December 2022

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

Full work available at URL: https://doi.org/10.1080/00207179.2021.1961020

zbMATH Keywords

probability measureGirsanov's theorempartially observed optimal controlderivatives with respect to measureMcKean-Vlasov stochastic system with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Random measures (60G57)

Related Items (2)

A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach

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