On Mean-Field Partial Information Maximum Principle of Optimal Control for Stochastic Systems with Levy Processes

被引：27

作者：

Hafayed, Mokhtar ^{[1
]}

Abbas, Syed ^{[2
]}

Abba, Abdelmadjid ^{[3
]}

机构：

[1] Biskra Univ, Lab Appl Math, Biskra 07000, Algeria

[2] Indian Inst Technol, Sch Basic Sci, Mandi 175001, HP, India

[3] Biskra Univ, Dept Math, Biskra 07000, Algeria

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2015年 / 167卷 / 03期

关键词：

Optimal stochastic control; Teugels martingales; Mean-field stochastic differential equation; Levy processes; Mean-field-type maximum principle; Feedback control; DIFFERENTIAL-EQUATIONS; SUFFICIENT CONDITIONS;

D O I：

10.1007/s10957-015-0762-4

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we study the mean-field-type partial information stochastic optimal control problem, where the system is governed by a controlled stochastic differential equation, driven by the Teugels martingales associated with some L,vy processes and an independent Brownian motion. We derive necessary and sufficient conditions of the optimal control for these mean-field models in the form of a maximum principle. The control domain is assumed to be convex. As an application, the partial information linear quadratic control problem of the mean-field type is discussed.

引用

页码：1051 / 1069

页数：19

共 28 条

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Abbas S, 2013, TECHNICAL REPORT

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