ESAIM: ControlM. Fornasier and F. Solombrino. Mean-field optimal control. ESAIM: Control, Optimization, and Calculus of Variations, 20(4):1123-1152, 2014.Massimo Fornasier and Francesco Solombrino, Mean-Field Optimal Control, ESAIM: Control, Optimization and Calc. of Var. 20 (2014), no....
Mathematics - Optimization and ControlWe study optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As an illustration, we solve ...
Infinite horizon mean-field type relaxed optimal control with Lévy processesInfinite horizonMean-field optimal controlRelaxed controlStochastic maximum principleTeugles martingalesThis paper investigates the problem of infinite horizon optimal control of stochastic differential equation with Teugels martingales ...
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余翔(香港理工大学)AMean Field GameApproach to Equilibrium Consumption under External Hab是近期报告的第5集视频,该合集共计12集,视频收藏或关注UP主,及时了解更多相关视频内容。
This technical note is concerned with a partially observed optimal control problem, whose novel feature is that the cost functional is of mean-field type. Hence determining the optimal control is time inconsistent in the sense that Bellman's dynamic programming principle does not hold. A maximum ...
This paper considers the problem of partially observed optimal control for forward-backward stochastic systems driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field type. When the coefficients of the system and the objective perfo...
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We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law \\mathcal{L}(X(t)) \\mathcal{L}(X(t)) of the state X(t) X(t) at time t t . For example, it could...
We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal probability laws. We prove the well-posedness of such systems and ...