A Global Optimality Principle for Fully Coupled Mean-field Control Systems

DOI10.1007/S10255-024-1112-9MaRDI QIDQ6489813

Tao Hao

Publication date: 22 April 2024

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Initial value problems for second-order parabolic equations (35K15) Mean field games and control (49N80)

Cites Work

• Mean-field SDEs with jumps and nonlocal integral-PDEs
• Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
• A general maximum principle for optimal control of forward-backward stochastic systems
• A stochastic maximum principle for general mean-field systems
• A maximum principle for SDEs of mean-field type
• A general stochastic maximum principle for SDEs of mean-field type
• Mean-field backward stochastic differential equations and related partial differential equations
• General mean-field BSDEs with continuous coefficients
• Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs
• An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation
• A second-order stochastic maximum principle for generalized mean-field singular control problem
• Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
• Mean-field backward stochastic differential equations driven by fractional Brownian motion
• Stochastic global maximum principle for optimization with recursive utilities
• A maximum principle for fully coupled stochastic control systems of mean-field type
• Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem
• Backward stochastic differential equations and applications to optimal control
• Mean-field stochastic differential equations and associated PDEs
• \(L^p\) solutions of backward stochastic differential equations.
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Bellman equation and viscosity solutions for mean-field stochastic control problem
• A General Stochastic Maximum Principle for Optimal Control Problems
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
• A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria
• A Stochastic Maximum Principle for Delayed Mean-Field Stochastic Differential Equations and Its Applications
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
• A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps

This page was built for publication: A Global Optimality Principle for Fully Coupled Mean-field Control Systems