Stochastic Maximum Principle for Partially Observed Optimal Control Problems of General McKean–Vlasov Differential Equations

被引：0
|
作者：
Imad Eddine Lakhdari
Hakima Miloudi
Mokhtar Hafayed
机构：
[1] University of Biskra,Laboratory of Applied Mathematics
[2] University Mohamed Khider,Laboratory of Applied Mathematics
[3] Biskra,Department of Mathematics
[4] University Mohamed khider,undefined
[5] Biskra,undefined
来源：
Bulletin of the Iranian Mathematical Society | 2021年 / 47卷
关键词：
Stochastic maximum principle; Partially observed optimal control; McKean–Vlasov differential equations; Probability measure; Derivative with respect to measures; 93E20; 60H10;
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摘要：
The paper studies partially observed optimal control problems of general McKean–Vlasov differential equations, in which the coefficients depend on the state of the solution process as well as of its law and the control variable. By applying Girsanov’s theorem with a standard variational technique, we establish a stochastic maximum principle on the assumption that the control domain is convex. As an application, partially observed linear-quadratic control problem is discussed.
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页码：1021 / 1043
页数：22
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