On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures

DOI10.1080/00207179.2018.1489148zbMath1443.93139OpenAlexW2808292525WikidataQ129656242 ScholiaQ129656242MaRDI QIDQ5113266

Shahlar Meherrem, Mokhtar Hafayed

Publication date: 4 June 2020

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

Full work available at URL: https://doi.org/10.1080/00207179.2018.1489148

zbMATH Keywords

maximum principlestochastic controlLévy processTeugels martingalesderivative with respect to measuresstochastic differential equations of mean-field type

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (1)

A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise

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