A GENERAL MAXIMUM PRINCIPLE FOR PARTIALLY OBSERVED MEAN-FIELD STOCHASTIC SYSTEM WITH RANDOM JUMPS IN PROGRESSIVE STRUCTURE

被引：0
|
作者：
Chen, Tian [1 ]
Wu, Zhen [2 ]
机构：
[1] Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China
[2] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China
来源：
MATHEMATICAL CONTROL AND RELATED FIELDS | 2022年
关键词：
Partial observation; stochastic control; maximum principle; spike variation; adjoint equation; MODEL;
D O I：
10.3934/mcrf.2022012
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study the progressive optimal control for partially observed stochastic system of mean-field type with random jumps. The cost function and the observation are also of mean-field type. The control is allowed to enter the diffusion, jump coefficient and the observation. The control domain need not be convex. We obtain the maximum principle for the partially observable progressive optimal control by a special spike variation. The maximum principle in the progressive structure is different from the classical case.
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页码：664 / 694
页数：31
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