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

被引：0
作者：
Mokhtar Hafayed
Syed Abbas
Abdelmadjid Abba
机构：
[1] Biskra University,Laboratory of Applied Mathematics
[2] School of Basic Sciences,Department of Mathematics
[3] Indian Institute of Technology,undefined
[4] Biskra University,undefined
来源：
Journal of Optimization Theory and Applications | 2015年 / 167卷
关键词：
Optimal stochastic control; Teugels martingales; Mean-field stochastic differential equation; Lévy processes ; Mean-field-type maximum principle; Feedback control; 60H10; 93E20;
D O I：
暂无
中图分类号：
学科分类号：
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 Lévy 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.
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页码：1051 / 1069
页数：18
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