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

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