Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays

被引：9

作者：

Zhang, Feng ^{[1
]}

机构：

[1] Shandong Univ Finance & Econ, Sch Math & Quantitat Econ, Jinan 250014, Peoples R China

来源：

SYSTEMS & CONTROL LETTERS | 2021年 / 149卷

关键词：

Stochastic maximum principle; Adjoint equation; Mixed delays; Mean field; Jump-diffusion; HORIZON OPTIMAL-CONTROL; DIFFERENTIAL-EQUATIONS;

D O I：

10.1016/j.sysconle.2021.104874

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper is concerned with one kind of stochastic optimal control problem of mean-field jumpdiffusion system with moving-average as well as pointwise delays. By means of the maximum principle, both necessary and sufficient optimality conditions are established. Two kinds of adjoint equations are used, which are shown to be equivalent. That is, a unified adjoint equation is provided. (c) 2021 Elsevier B.V. All rights reserved.

引用

页数：8

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