Optimal control of mean-field jump-diffusion systems with noisy memory

DOI10.1080/00207179.2017.1370556zbMath1417.49025OpenAlexW2750613312MaRDI QIDQ5382596

Bin Liu, He-Ping Ma

Publication date: 18 June 2019

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

Full work available at URL: https://doi.org/10.1080/00207179.2017.1370556

zbMATH Keywords

maximum principleMalliavin calculusjump diffusionnoisy memorymean-field

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Linear-quadratic optimal control problems (49N10)

Related Items

Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type ⋮ Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory ⋮ Sufficient maximum principle for stochastic optimal control problems with general delays

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