On Peng's type maximum principle for optimal control of mean-field stochastic differential equations with jump processes
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Date
2019
Authors
Shahlar Meherrem
Mokhtar Hafayed
Syed Abbas
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Volume Title
Publisher
Inderscience Publishers
Open Access Color
Green Open Access
Yes
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No
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Abstract
In this paper we investigate the Peng's type optimal control problems for stochastic differential equations of mean-field type with jump processes. The coefficients of the system contain not only the state process but also its marginal distribution through their expected values. We assume that the control set is a general open set that is not necessary convex. The control variable is allowed to enter into both diffusion and jump terms. We extend the maximum principle of Buckdahn et al. (2011) to jump case. © 2020 Elsevier B.V. All rights reserved.
Description
Keywords
Mean-field Jump Systems, Peng's Maximum Principle, Poisson Martingale Measure, Second-order Adjoint Equation, Spike Variation Method, Stochastic Optimal Control, Markov Processes, Maximum Principle, Optimal Control Systems, Poisson Equation, Stochastic Control Systems, Jump System, Martingale Measures, Second-order Adjoint Equations, Stochastic Optimal Control, Variation Method, Stochastic Systems, Markov processes, Maximum principle, Optimal control systems, Poisson equation, Stochastic control systems, Jump system, Martingale measures, Second-order adjoint equations, Stochastic optimal control, Variation method, Stochastic systems
Fields of Science
0209 industrial biotechnology, 02 engineering and technology
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N/A
Source
International Journal of Modelling, Identification and Control
Volume
31
Issue
Start Page
245
End Page
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