On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
In this paper, we study the mean-field-type partial information stochastic optimal control
problem, where the system is governed by a controlled stochastic differential equation …
problem, where the system is governed by a controlled stochastic differential equation …
A mean-field necessary and sufficient conditions for optimal singular stochastic control
M Hafayed - Communications in Mathematics and Statistics, 2013 - Springer
This paper studies singular optimal control problems for systems described by nonlinear-
controlled stochastic differential equations of mean-field type (MFSDEs in short), in which …
controlled stochastic differential equations of mean-field type (MFSDEs in short), in which …
A mean-field maximum principle for optimal control of forward–backward stochastic differential equations with Poisson jump processes
M Hafayed - International Journal of Dynamics and Control, 2013 - Springer
We consider mean-field type stochastic optimal control problems for systems governed by
special mean-field forward–backward stochastic differential equations with jump processes …
special mean-field forward–backward stochastic differential equations with jump processes …
On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
This paper is concerned with partial-information mixed optimal stochastic continuous–
singular control problem for mean-field stochastic differential equation driven by Teugels …
singular control problem for mean-field stochastic differential equation driven by Teugels …
On mean-field stochastic maximum principle for near-optimal controls for Poisson jump diffusion with applications
In this paper, we study mean-field type stochastic control problems for systems described by
mean-field stochastic differential equations with jump processes, in which the coefficients …
mean-field stochastic differential equations with jump processes, in which the coefficients …
Singular mean-field optimal control for forward-backward stochastic systems and applications to finance
M Hafayed - International Journal of Dynamics and Control, 2014 - Springer
In this paper, we study a class of singular stochastic optimal control problems for systems
described by mean-field forward-backward stochastic differential equations, in which the …
described by mean-field forward-backward stochastic differential equations, in which the …
A McKean–Vlasov optimal mixed regular-singular control problem for nonlinear stochastic systems with Poisson jump processes
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 …
regular-singular control problem for nonlinear forward–backward stochastic systems with …
Mean-Field Maximum Principle for Optimal Control of Forward–Backward Stochastic Systems with Jumps and its Application to Mean-Variance Portfolio Problem
We study mean-field type optimal stochastic control problem for systems governed by mean-
field controlled forward–backward stochastic differential equations with jump processes, in …
field controlled forward–backward stochastic differential equations with jump processes, in …
On Zhou's maximum principle for near-optimal control of mean-field forward-backward stochastic systems with jumps and its applications
This paper is concerned with stochastic maximum principle for near-optimal control of
nonlinear controlled mean-field forward-backward stochastic systems driven by Brownian …
nonlinear controlled mean-field forward-backward stochastic systems driven by Brownian …
Contributions to the stochastic optimal control of Mckean-Vlasov stochastic différential systems via the derivatives with respect to measures with some applications
F Korichi - 2024 - thesis.univ-biskra.dz
The central theme is to establish a set of necessary conditions, in the form of stochastic
maximum for a di¤ erent systems. This thesis is structured around… ve chapters: The… rst …
maximum for a di¤ erent systems. This thesis is structured around… ve chapters: The… rst …