A STOCHASTIC MAXIMUM PRINCIPLE FOR GENERAL MEAN-FIELD BACKWARD DOUBLY STOCHASTIC CONTROL

被引：0

作者：

Aoun, S. ^{[1
]}

Tamer, L. ^{[1
]}

机构：

[1] Univ Mohamed Khider Biskra, BP 145, Biskra 07000, Algeria

来源：

TWMS JOURNAL OF APPLIED AND ENGINEERING MATHEMATICS | 2024年 / 14卷 / 01期

关键词：

Backward doubly stochastic differential equations; Optimal control; McKean-Vlasov differential equations; Probability measure; Derivative with respect to measure; DIFFERENTIAL-EQUATIONS; CONTROL SYSTEMS; DRIVEN;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we study the optimal control problems of general MckeanVlasov for backward doubly stochastic differential equations (BDSDEs), in which the coefficients depend on the state of the solution process as well as of its law. We establish a stochastic maximum principle on the hypothesis that the control field is convex. For example, an example of a control problem is offered and solved using the primary result.

引用

页码：353 / 367

页数：15

共 50 条

[31] Mean-field backward doubly stochastic differential equations and related SPDEs
Xu, Ruimin
BOUNDARY VALUE PROBLEMS, 2012,
[32] A maximum principle for fully coupled stochastic control systems of mean-field type
Li, Ruijing
Liu, Bin
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2014, 415 (02) : 902 - 930
[33] Mean-Field Backward Doubly Stochastic Differential Equations and Its Applications
Du Heng
Peng Ying
Wang Ye
PROCEEDINGS OF THE 31ST CHINESE CONTROL CONFERENCE, 2012, : 1547 - 1552
[34] Mean-field backward doubly stochastic differential equations and related SPDEs
Ruimin Xu
Boundary Value Problems, 2012
[35] Maximum principle for delayed stochastic mean-field control problem with state constraint
Chen, Li
Wang, Jiandong
ADVANCES IN DIFFERENCE EQUATIONS, 2019, 2019 (01)
[36] A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
Djehiche, Boualem
Tembine, Hamidou
Tempone, Raul
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2015, 60 (10) : 2640 - 2649
[37] Stochastic maximum principle for discrete time mean-field optimal control problems
Ahmadova, Arzu
Mahmudov, Nazim I. I.
OPTIMAL CONTROL APPLICATIONS & METHODS, 2023, 44 (06): : 3361 - 3378
[38] Maximum principle for delayed stochastic mean-field control problem with state constraint
Li Chen
Jiandong Wang
Advances in Difference Equations, 2019
[39] A stochastic maximum principle for partially observed general mean-field control problems with only weak solution☆
Li, Juan
Liang, Hao
Mi, Chao
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2023, 165 : 397 - 439
[40] A mean-field stochastic maximum principle via Malliavin calculus
Meyer-Brandis, Thilo
Oksendal, Bernt
Zhou, Xun Yu
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2012, 84 (5-6) : 643 - 666

← 1 2 3 4 5 →