A general characterization of the stochastic optimal combined control of mean field stochastic systems with application
| dc.contributor.author | Shahlar Meherrem | |
| dc.contributor.author | Mokhtar Hafayed | |
| dc.contributor.author | Deniz Hasan Guçoglu | |
| dc.contributor.author | Şaban Eren | |
| dc.contributor.author | Hafayed, Mokhtar | |
| dc.contributor.author | Meherrem, Shahlar | |
| dc.contributor.author | Gucoglu, Deniz H. | |
| dc.contributor.author | Eren, Saban | |
| dc.date.accessioned | 2025-10-06T17:51:37Z | |
| dc.date.issued | 2018 | |
| dc.description.abstract | In this paper a general characterization of the optimal stochastic combined control for mean-field jump-systems is derived by applying mixed convex-spike perturbation method. The diffusion coefficient depends on the continuous control variable and the control domain is not necessary convex. In our combined mean-field control problem we discuss two classes of jumps for the state processes the inaccessible jumps which caused by Poisson martingale measure and the predictable ones which caused by the singularity of the control variable. Markowitz’s mean–variance portfolio selection problem with intervention control is discussed. © 2020 Elsevier B.V. All rights reserved. | |
| dc.description.sponsorship | Tubitak, (2221) | |
| dc.description.sponsorship | Acknowledgements The authors would like to thank, the associate editor, and anonymous referees for their constructive corrections and valuable suggestions that improved the manuscript considerably. This work was supported by the Tubitak project (Grant 2221), Turkey. | |
| dc.identifier.doi | 10.1007/s40435-017-0323-9 | |
| dc.identifier.issn | 21952698, 2195268X | |
| dc.identifier.issn | 2195-268X | |
| dc.identifier.issn | 2195-2698 | |
| dc.identifier.scopus | 2-s2.0-85046782843 | |
| dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046782843&doi=10.1007%2Fs40435-017-0323-9&partnerID=40&md5=293fc6dd076beb1428a8c8311b82f6bb | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/9554 | |
| dc.identifier.uri | https://doi.org/10.1007/s40435-017-0323-9 | |
| dc.language.iso | English | |
| dc.publisher | Springer Berlin Heidelberg | |
| dc.relation.ispartof | International Journal of Dynamics and Control | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.source | International Journal of Dynamics and Control | |
| dc.subject | Convex-spike Perturbations, Markowitz’s Mean–variance Portfolio, Maximum Principle, Second-order Variational Equation, Singular Stochastic Control, Maximum Principle, Perturbation Techniques, Stochastic Control Systems, Continuous Control, Convex-spike Perturbations, Markowitz, Martingale Measures, Perturbation Method, Portfolio Selection Problems, Singular Stochastic Control, Variational Equations, Stochastic Systems | |
| dc.subject | Maximum principle, Perturbation techniques, Stochastic control systems, Continuous control, Convex-spike perturbations, Markowitz, Martingale measures, Perturbation method, Portfolio selection problems, Singular stochastic control, Variational equations, Stochastic systems | |
| dc.subject | Singular Stochastic Control | |
| dc.subject | Convex-Spike Perturbations | |
| dc.subject | Second-Order Variational Equation | |
| dc.subject | Maximum Principle | |
| dc.subject | Markowitz’s Mean–Variance Portfolio | |
| dc.title | A general characterization of the stochastic optimal combined control of mean field stochastic systems with application | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
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| gdc.description.department | ||
| gdc.description.departmenttemp | [Meherrem S.] Department of Mathematics, Yasar University, University aven, Agaclı Yol No. 35-57, Izmir, Turkey; [Hafayed M.] Laboratory of Applied Mathematics, Biskra University, PO. Box 145, Biskra, 07000, Algeria; [Gucoglu D.H.] Department of Mathematics, Yasar University, University aven, Agaclı Yol No. 35-57, Izmir, Turkey; [Eren S.] Department of Mathematics, Yasar University, University aven, Agaclı Yol No. 35-57, Izmir, Turkey | |
| gdc.description.endpage | 880 | |
| gdc.description.issue | 2 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 873 | |
| gdc.description.volume | 6 | |
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| gdc.virtual.author | Meherrem, Şahlar | |
| gdc.virtual.author | Eren, Şaban | |
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| person.identifier.scopus-author-id | Meherrem- Shahlar (55646944800), Hafayed- Mokhtar (36245200100), Guçoglu- Deniz Hasan (57202020084), Eren- Şaban (57202412803) | |
| project.funder.name | Acknowledgements The authors would like to thank the associate editor and anonymous referees for their constructive corrections and valuable suggestions that improved the manuscript considerably. This work was supported by the Tubitak project (Grant 2221) Turkey. | |
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