On mean-field stochastic maximum principle for near-optimal controls for Poisson jump diffusion with applications

International Journal of Dynamics and Control

Volumn 2, Issue 3, 2014, Pages 262-284

  Hafayed, Mokhtar ^a   Abba, Abdelmadjid ^a   Abbas, Syed ^b  

^a UNIVERSITY OF BISKRA   (Algeria)

^b INDIAN INSTITUTE OF TECHNOLOGY MANDI   (India)

Author keywords

Controlled mean field jump diffusion processes; Ekeland s principle; Feedback control; McKean Vlasov system; Near optimization; Necessary and sufficient conditions; Stochastic control; Time inconsistent solution

Indexed keywords

FEEDBACK CONTROL; MARKOV PROCESSES; ORDINARY DIFFERENTIAL EQUATIONS; RICCATI EQUATIONS; STATE FEEDBACK; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

JUMP-DIFFUSION PROCESS; MEAN-VARIANCE PORTFOLIOS; NECESSARY AND SUFFICIENT CONDITIONS; SECOND-ORDER ADJOINT EQUATIONS; STOCHASTIC CONTROL; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC MAXIMUM PRINCIPLES; VARIATIONAL PRINCIPLES;

HAMILTONIANS;

EID: 84975298354     PISSN: 2195268X     EISSN: 21952698     Source Type: Journal    
DOI: 10.1007/s40435-013-0040-y     Document Type: Article

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