Name
Title | ||
|---|---|---|
Stochastic Control for Mean-Field Stochastic Partial Differential Equations with Jumps. |
Abstract | ||
|---|---|---|
We study optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in case of partial information control. One important novelty of our problem is represented by the introduction of general mean-field operators, acting on both the controlled state process and the control process. We first formulate a sufficient and a necessary maximum principle for this type of control. We then prove the existence and uniqueness of the solution of such general forward and backward mean-field stochastic partial differential equations. We apply our results to find the explicit optimal control for an optimal harvesting problem. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1007/s10957-018-1243-3 | J. Optimization Theory and Applications |
Keywords | Field | DocType |
Mean-field stochastic partial differential equation,Optimal control,Mean-field backward stochastic partial differential equation,Stochastic maximum principles,60H15,93E20,35R60 | Uniqueness,Optimal control,Maximum principle,Mathematical analysis,Poisson random measure,Operator (computer programming),Stochastic partial differential equation,Brownian motion,Mathematics,Stochastic control | Journal |
Volume | Issue | ISSN |
176 | 3 | 0022-3239 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Roxana Dumitrescu | 1 | 0 | 0.34 |
| Bernt Oksendal | 2 | 89 | 15.84 |
| Agnès Sulem | 3 | 98 | 20.64 |