Optimal continuous-singular control of stochastic McKean-Vlasov system in Wasserstein space of probability measures
type: Item
instance of: scholarly article
title: Optimal continuous-singular control of stochastic McKean-Vlasov system in Wasserstein space of probability measures
zbMATH Open document ID: 1502.49020
author: Samira Boukaf
author: Lina Guenane
author: Mokhtar Hafayed
published in: International Journal of Dynamical Systems and Differential Equations
publication date: 2022-12-13T00:00:00Z
full work available at URL: IJDSDE.2022.126543
review text: Summary: In this paper, we study the local form of maximum principle for optimal stochastic continuous-singular control of nonlinear Itô stochastic differential equation of McKean-Vlasov type, with incomplete information. The coefficients of the system are nonlinear and depend on the state process as well as its probability law. The control variable is allowed to enter into both drift and diffusion coefficients. The action space is assumed to be convex. The proof of our local maximum principle is based on the differentiability with respect to the probability law in Wasserstein space of probability measures with some appropriate estimates.
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7632182
zbMATH Keywords: probability law
zbMATH Keywords: optimal continuous-singular control
zbMATH Keywords: McKean-Vlasov stochastic system
zbMATH Keywords: Wasserstein space of probability measures
zbMATH Keywords: maximum principle
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 7632182