Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2014.10.011 ◽

2015 ◽

Vol 279 ◽

pp. 13-30 ◽

Author(s):

Qingxin Meng ◽

Yang Shen

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Diffusion Systems

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Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems

International Journal of Robust and Nonlinear Control ◽

10.1002/rnc.5358 ◽

2021 ◽

Vol 31 (6) ◽

pp. 2141-2167

Author(s):

Jun Moon

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Stochastic Optimal Control ◽

Regime Switching ◽

Jump Diffusion ◽

Markov Regime Switching ◽

Diffusion Systems ◽

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Stochastic maximum principle of mean-field jump–diffusion systems with mixed delays

Systems & Control Letters ◽

10.1016/j.sysconle.2021.104874 ◽

2021 ◽

Vol 149 ◽

pp. 104874

Author(s):

Feng Zhang

Keyword(s):

Maximum Principle ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Mixed Delays ◽

Diffusion Systems

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The Stochastic Maximum Principle for a Jump-Diffusion Mean-Field Model Involving Impulse Controls and Applications in Finance

Journal of Systems Science and Complexity ◽

10.1007/s11424-018-8095-7 ◽

2019 ◽

Vol 33 (1) ◽

pp. 26-42

Author(s):

Cailing Li ◽

Zaiming Liu ◽

Jinbiao Wu ◽

Xiang Huang

Keyword(s):

Maximum Principle ◽

Field Model ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Mean Field Model ◽

Impulse Controls

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Stochastic maximum principle for mean-field type singular optimal control problem with discounted cost

International Journal of Computational Systems Engineering ◽

10.1504/ijcsyse.2019.10023160 ◽

2019 ◽

Vol 5 (4) ◽

pp. 235

Author(s):

Deepa Ravi ◽

Muthukumar Palanisamy

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Maximum Principle ◽

Singular Optimal Control ◽

Discounted Cost ◽

Singular Optimal Control Problem

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Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information

IEEE Transactions on Automatic Control ◽

10.1109/tac.2013.2273265 ◽

2014 ◽

Vol 59 (2) ◽

pp. 522-528 ◽

Author(s):

Guangchen Wang ◽

Chenghui Zhang ◽

Weihai Zhang

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Partial Information ◽

Stochastic Maximum Principle ◽

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Stochastic maximum principle for mean-field type singular optimal control problem with discounted cost

International Journal of Computational Systems Engineering ◽

10.1504/ijcsyse.2019.101704 ◽

2019 ◽

Vol 5 (4) ◽

pp. 235

Author(s):

Muthukumar Palanisamy ◽

Deepa Ravi

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Maximum Principle ◽

Singular Optimal Control ◽

Discounted Cost ◽

Singular Optimal Control Problem

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A stochastic maximum principle in mean-field optimal control problems for jump diffusions

Arab Journal of Mathematical Sciences ◽

10.1016/j.ajmsc.2013.02.001 ◽

2013 ◽

Vol 19 (2) ◽

pp. 223-241 ◽

Author(s):

Farid Chighoub ◽

Brahim Mezerdi

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problems ◽

Stochastic Maximum Principle ◽

Control Problems ◽

Jump Diffusions

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Stochastic Maximum Principle for Forward-Backward Regime Switching Jump Diffusion Systems and Applications to Finance

Chinese Annals of Mathematics Series B ◽

10.1007/s11401-018-0095-3 ◽

2018 ◽

Vol 39 (5) ◽

pp. 773-790

Author(s):

Siyu Lv ◽

Zhen Wu

Keyword(s):

Maximum Principle ◽

Regime Switching ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Diffusion Systems

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Optimal Control of Forward‐Backward Stochastic Jump‐Diffusion Differential Systems with Observation Noises: Stochastic Maximum Principle

Asian Journal of Control ◽

10.1002/asjc.2272 ◽

2019 ◽

Author(s):

Meijiao Wang ◽

Qiuhong Shi ◽

Qingxin Meng

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Differential Systems ◽

Stochastic Jump

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A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type

SIAM Journal on Control and Optimization ◽

10.1137/17m112395x ◽

2018 ◽

Vol 56 (4) ◽

pp. 2563-2592 ◽

Author(s):

Xin Zhang ◽

Zhongyang Sun ◽

Jie Xiong

Keyword(s):

Maximum Principle ◽

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Markov Regime Switching ◽

Jump Diffusion Model ◽

General Stochastic

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