Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control
DOI10.1137/21m1461034zbMath1517.60109arXiv2110.02193MaRDI QIDQ6100504
Publication date: 22 June 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2110.02193
linear-quadratic optimal controlcommon noisejump diffusionHamilton-Jacobi-Bellman (HJB) equationstochastic Fokker-Planck equationconditional McKean-Vlasov differential equation
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Consumer behavior, demand theory (91B42) Optimality conditions for problems involving randomness (49K45) Jump processes on general state spaces (60J76)
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