On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach

DOI10.1002/mma.8373zbMath1530.93540MaRDI QIDQ6142168

Unnamed Author, Mokhtar Hafayed, Shahlar Meherrem

Publication date: 21 December 2023

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

zbMATH Keywords

nonlinear filteringGirsanov's theoremstochastic singular controlderivatives with respect to probability measureMcKean-Vlasov stochastic system with correlated noisespartially observed optimal singular control

Mathematics Subject Classification ID

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

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