Maximum principle for optimal control of McKean-Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law
| dc.contributor.author | Shahlar Meherrem | |
| dc.contributor.author | Mokhtar Hafayed | |
| dc.date.accessioned | 2025-10-06T17:51:23Z | |
| dc.date.issued | 2019 | |
| dc.description.abstract | In this paper we study stochastic optimal control problem for general McKean-Vlasov–type forward-backward differential equations driven by Teugels martingales associated with some Lévy process having moments of all orders and an independent Brownian motion. The coefficients of the system depend on the state of the solution process as well as of its probability law and the control variable. We establish a set of necessary conditions in the form of Pontryagin maximum principle for the optimal control. We also give additional conditions under which the necessary optimality conditions turn out to be sufficient. The proof of our main result is based on the differentiability with respect to probability law and a corresponding Itô formula. © 2019 Elsevier B.V. All rights reserved. | |
| dc.identifier.doi | 10.1002/oca.2490 | |
| dc.identifier.issn | 10991514, 01432087 | |
| dc.identifier.issn | 0143-2087 | |
| dc.identifier.issn | 1099-1514 | |
| dc.identifier.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85062493112&doi=10.1002%2Foca.2490&partnerID=40&md5=332e376d75dcfd1ec89aa28fefae8b33 | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/9420 | |
| dc.language.iso | English | |
| dc.publisher | John Wiley and Sons Ltd vgorayska@wiley.com Southern Gate Chichester West Sussex PO19 8SQ | |
| dc.relation.ispartof | Optimal Control Applications and Methods | |
| dc.source | Optimal Control Applications and Methods | |
| dc.subject | Derivative With Respect To Probability Law, Maximum Principle, Mckean-vlasov Forward-backward Stochastic Systems With Lévy Process, Optimal Stochastic Control, Teugels Martingales, Brownian Movement, Maximum Principle, Optimal Control Systems, Stochastic Control Systems, Stochastic Systems, Vlasov Equation, Control Variable, Differentiability, Maximum Principle For Optimal Control, Necessary Optimality Condition, Optimal Stochastic Control, Probability Law, Stochastic Optimal Control Problem, Teugels Martingale, Process Control | |
| dc.subject | Brownian movement, Maximum principle, Optimal control systems, Stochastic control systems, Stochastic systems, Vlasov equation, Control variable, Differentiability, Maximum principle for optimal control, Necessary optimality condition, Optimal stochastic control, Probability law, Stochastic optimal control problem, Teugels martingale, Process control | |
| dc.title | Maximum principle for optimal control of McKean-Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law | |
| dc.type | Article | |
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| gdc.description.endpage | 516 | |
| gdc.description.startpage | 499 | |
| gdc.description.volume | 40 | |
| gdc.identifier.openalex | W2918976985 | |
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| gdc.oaire.keywords | maximum principle | |
| gdc.oaire.keywords | derivative with respect to probability law | |
| gdc.oaire.keywords | Optimal stochastic control | |
| gdc.oaire.keywords | Teugels martingales | |
| gdc.oaire.keywords | McKean-Vlasov forward-backward stochastic systems with Lévy process | |
| gdc.oaire.keywords | Processes with independent increments; Lévy processes | |
| gdc.oaire.keywords | optimal stochastic control | |
| gdc.oaire.keywords | Control/observation systems governed by ordinary differential equations | |
| gdc.oaire.keywords | Stochastic ordinary differential equations (aspects of stochastic analysis) | |
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| gdc.opencitations.count | 10 | |
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| oaire.citation.endPage | 516 | |
| oaire.citation.startPage | 499 | |
| person.identifier.scopus-author-id | Meherrem- Shahlar (55646944800), Hafayed- Mokhtar (36245200100) | |
| publicationissue.issueNumber | 3 | |
| publicationvolume.volumeNumber | 40 | |
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