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Now showing items 1-16 of 16
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A general characterization of the stochastic optimal combined control of mean field stochastic systems with application
(International Journal of Dynamics and Control, 2018)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 ... -
A McKean-Vlasov optimal mixed regular-singular control problem for nonlinear stochastic systems with Poisson jump processes
(Neurocomputing, 2016)In this paper, we develop the necessary conditions of optimality for a new class of mixed regular-singular control problem for nonlinear forward-backward stochastic systems with Poisson jump processes of McKean-Vlasov type. ... -
A McKean-Vlasov optimal mixed regular-singular control problem for nonlinear stochastic systems with Poisson jump processes
(ELSEVIER SCIENCE BV, 2016)In this paper, we develop the necessary conditions of optimality for a new class of mixed regular-singular control problem for nonlinear forward-backward stochastic systems with Poisson jump processes of McKean-Vlasov type. ... -
Maximum principle for optimal control of McKean-Vlasov FBSDEs with Levy process via the differentiability with respect to probability law
(WILEY, 2019)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, ... -
Maximum principle for optimal control of McKean-Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law
(Optimal Control Applications and Methods, 2019)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, ... -
Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
(Taylor and Francis Inc., 2021)In this paper, we establish necessary conditions of optimality for partially observed optimal control problems of Mckean–Vlasov type. The system is described by a controlled stochastic differential equation governed by ... -
On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
(TAYLOR & FRANCIS LTD, 2020)This paper deals with partial information stochastic optimal control problem for general controlled mean-field systems driven by Teugels martingales associated with some Levy process having moments of all orders, and an ... -
On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
(International Journal of Control, 2020)This paper deals with partial information stochastic optimal control problem for general controlled mean-field systems driven by Teugels martingales associated with some Lévy process having moments of all orders, and an ... -
On optimal singular control problem for general Mckean-Vlasov differential equations: Necessary and sufficient optimality conditions
(Optimal Control Applications and Methods, 2018)In this paper, we derive the necessary and sufficient conditions for optimal singular control for systems governed by general controlled McKean-Vlasov differential equations, in which the coefficients depend on the state ... -
On optimal singular control problem for general Mckean-Vlasov differential equations: Necessary and sufficient optimality conditions
(WILEY, 2018)In this paper, we derive the necessary and sufficient conditions for optimal singular control for systems governed by general controlled McKean-Vlasov differential equations, in which the coefficients depend on the state ... -
On optimal solutions of general continuous-singular stochastic control problem of McKean-Vlasov type
(WILEY, 2020)In this paper, we establish general necessary optimality conditions for stochastic continuous-singular control of McKean-Vlasov type equations. The coefficients of the state equation depend on the state of the solution ... -
On optimal solutions of general continuous-singular stochastic control problem of McKean-Vlasov type
(Mathematical Methods in the Applied Sciences, 2020)In this paper, we establish general necessary optimality conditions for stochastic continuous-singular control of McKean-Vlasov type equations. The coefficients of the state equation depend on the state of the solution ... -
On Peng's type maximum principle for optimal control of mean-field stochastic differential equations with jump processes
(INDERSCIENCE ENTERPRISES LTD, 2019)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 ... -
On Peng's type maximum principle for optimal control of mean-field stochastic differential equations with jump processes
(International Journal of Modelling, Identification and Control, 2019)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 ... -
Variational principle for stochastic singular control of mean-field Levy-forward-backward system driven by orthogonal Teugels martingales with application
(INDERSCIENCE ENTERPRISES LTD, 2017)We consider stochastic singular control for mean-field forward-backward stochastic differential equations, driven by orthogonal Teugels martingales associated with some Levy processes having moments of all orders and an ... -
Variational principle for stochastic singular control of mean-field Lévy-forward-backward system driven by orthogonal Teugels martingales with application
(International Journal of Modelling, Identification and Control, 2017)We consider stochastic singular control for mean-field forward-backward stochastic differential equations, driven by orthogonal Teugels martingales associated with some Lévy processes having moments of all orders and an ...
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