On optimal solutions of general continuous‐singular stochastic control problem of McKean‐Vlasov type

DOI10.1002/MMA.6392zbMath1460.93108OpenAlexW3016404347MaRDI QIDQ5131606

Lina Guenane, Syed Abbas, Mokhtar Hafayed, Shahlar Meherrem

Publication date: 9 November 2020

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.6392

zbMATH Keywords

maximum principleoptimal stochastic continuous-singular controlsecond-order derivative with respect to measurestochastic differential equation of McKean-Vlasov type

Mathematics Subject Classification ID

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

Related Items (2)

Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach

This page was built for publication: On optimal solutions of general continuous‐singular stochastic control problem of McKean‐Vlasov type