A Stochastic Maximum Principle for General Mean-Field Systems

In this paper we study the optimal control problem for a class of general mean-field stochastic differential equations, in which the coefficients depend, nonlinearly, on both the state process as well as of its law. In particular, we assume that the control set is a general open set that is not nece...

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Veröffentlicht in:	Applied mathematics & optimization Jg. 74; H. 3; S. 507 - 534
Hauptverfasser:	Buckdahn, Rainer, Li, Juan, Ma, Jin
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York Springer US 01.12.2016 Springer Nature B.V
Schlagworte:	Adjoints Applications of mathematics Brownian motion Calculus of Variations and Optimal Control; Optimization CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS Control DIFFERENTIAL EQUATIONS Dynamic programming Euclidean space Mathematical analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Maximum principle MEAN-FIELD THEORY NONLINEAR PROBLEMS Numerical and Computational Physics OPTIMAL CONTROL Optimization Random variables Regularity Simulation Stochastic control theory STOCHASTIC PROCESSES Stochasticity Studies Systems Theory Theoretical VARIATIONAL METHODS 93E20 60H10 Mean-field SDE 60H30 Stochastic control Maximum principle 91B28 McKean–Vlasov equation
ISSN:	0095-4616, 1432-0606
Online-Zugang:	Volltext
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