Stochastic maximum principle for discrete time mean‐field optimal control problems
From MaRDI portal
Publication:6180299
DOI10.1002/oca.3042MaRDI QIDQ6180299
Nazim Idris Mahmudov, Arzu Ahmadova
Publication date: 19 January 2024
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
stochastic maximum principleoptimal control problemnecessary and sufficient conditionsmean-field theorydiscrete-time backward stochastic equation
Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Mean field games and control (49N80)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An infinite-horizon stochastic discrete-time Pontryagin principle
- A general maximum principle for optimal control of forward-backward stochastic systems
- A general stochastic maximum principle for SDEs of mean-field type
- Mean-field backward stochastic differential equations: A limit approach
- A new discrete analogue of Pontryagin's maximum principle
- Discrete-time indefinite LQ control with state and control dependent noises
- Optimality conditions of singular controls for systems with Caputo fractional derivatives
- Maximum principle for discrete-time stochastic optimal control problem and stochastic game
- Maximum principle for discrete-time stochastic control problem of mean-field type
- Necessary first-order and second-order optimality conditions in discrete-time stochastic systems
- On the necessary condition for optimal control of nonlinear systems
- Linear quadratic regulation for linear time-varying systems with multiple input delays
- On necessary optimality conditions in discrete control systems
- A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
- Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
- A General Stochastic Maximum Principle for Optimal Control Problems
- A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
- Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems
- Discretional Convexity and the Maximum Principle for Discrete Systems
- Second-order necessary optimality conditions for a discrete optimal control problem
This page was built for publication: Stochastic maximum principle for discrete time mean‐field optimal control problems