Stochastic optimal control for dynamics of forward backward doubly SDEs of mean-field type

DOI10.5269/BSPM.50597OpenAlexW4313579643MaRDI QIDQ6194624

Nassima Berrouis, Abdelhakim Ninouh, Boulekhrass Gherbal

Publication date: 16 February 2024

Published in: Boletim da Sociedade Paranaense de Matemática (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5269/bspm.50597

zbMATH Keywords

existenceoptimality conditionsvariational equationadjoint equationsrelaxed controlmean-fieldstrict controlforward backward doubly SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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