Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Impulsive control/observation systems (93C27)

Cites Work

Unnamed Item
Maximum principle for optimal control problems of forward-backward regime-switching system and applications
The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls
Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
A maximum principle for SDEs of mean-field type
A general stochastic maximum principle for SDEs of mean-field type
Sufficient stochastic maximum principle in a regime-switching diffusion model
Mean field games. I: The stationary case
Mean field games. II: Finite horizon and optimal control
Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
Mean field games
Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
Mean-field backward stochastic differential equations and applications
Hybrid optimal impulse control
Maximum principle for discrete-time stochastic control problem of mean-field type
Mean-field-type games with jump and regime switching
Zero-sum stochastic differential game in finite horizon involving impulse controls
A general stochastic maximum principle for mean-field controls with regime switching
On laws of large numbers for systems with mean-field interactions and Markovian switching
A maximum principle for fully coupled stochastic control systems of mean-field type
Stochastic differential equations, backward SDEs, partial differential equations
Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
About the Pricing Equations in Finance
Stochastic Differential Utility
Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
Backward Stochastic Differential Equations in Finance
A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching
Extended mean-field control problem with partial observation
A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
Stochastic Maximum Principle for Optimal Control Problems of Forward-Backward Systems Involving Impulse Controls

This page was built for publication: Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls