Maximum principle for optimal control of McKean-Vlasov FBSDEs with Levy process via the differentiability with respect to probability law
| dc.contributor.author | Shahlar Meherrem | |
| dc.contributor.author | Mokhtar Hafayed | |
| dc.contributor.author | Hafayed, Mokhtar | |
| dc.contributor.author | Meherrem, Shahlar | |
| dc.date | MAY | |
| dc.date.accessioned | 2025-10-06T16:21:14Z | |
| 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 Levy 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 Ito formula. | |
| dc.identifier.doi | 10.1002/oca.2490 | |
| dc.identifier.issn | 0143-2087 | |
| dc.identifier.issn | 1099-1514 | |
| dc.identifier.scopus | 2-s2.0-85062493112 | |
| dc.identifier.uri | http://dx.doi.org/10.1002/oca.2490 | |
| dc.identifier.uri | https://gcris.yasar.edu.tr/handle/123456789/6779 | |
| dc.identifier.uri | https://doi.org/10.1002/oca.2490 | |
| dc.language.iso | English | |
| dc.publisher | WILEY | |
| dc.relation.ispartof | Optimal Control Applications and Methods | |
| dc.rights | info:eu-repo/semantics/closedAccess | |
| dc.source | OPTIMAL CONTROL APPLICATIONS & METHODS | |
| dc.subject | derivative with respect to probability law, maximum principle, McKean-Vlasov forward-backward stochastic systems with Levy process, optimal stochastic control, Teugels martingales | |
| dc.subject | SINGULAR CONTROL-PROBLEM, STOCHASTIC-SYSTEMS, EQUATIONS | |
| dc.subject | Optimal Stochastic Control | |
| dc.subject | Derivative with Respect to Probability Law | |
| dc.subject | McKean-Vlasov Forward-Backward Stochastic Systems with Levy Process | |
| dc.subject | Teugels Martingales | |
| dc.subject | Maximum Principle | |
| dc.title | Maximum principle for optimal control of McKean-Vlasov FBSDEs with Levy process via the differentiability with respect to probability law | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| gdc.author.id | Hafayed, Mokhtar/0000-0002-8915-9530 | |
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| gdc.author.wosid | Hafayed, Mokhtar/W-7150-2019 | |
| gdc.author.wosid | Meherrem, Shahlar/G-6278-2018 | |
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| gdc.description.department | ||
| gdc.description.departmenttemp | [Meherrem, Shahlar] Yasar Univ, Dept Math, Izmir, Turkey; [Hafayed, Mokhtar] Biskra Univ, Lab Appl Math, POB 145, Biskra 07000, Algeria | |
| gdc.description.endpage | 516 | |
| gdc.description.issue | 3 | |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | |
| gdc.description.startpage | 499 | |
| gdc.description.volume | 40 | |
| gdc.description.woscitationindex | Science Citation Index Expanded | |
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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.virtual.author | Meherrem, Şahlar | |
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| oaire.citation.endPage | 516 | |
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| person.identifier.orcid | Hafayed- Mokhtar/0000-0002-8915-9530 | |
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