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

International Journal of Dynamics and Control ◽

10.1007/s40435-013-0040-y ◽

2013 ◽

Vol 2 (3) ◽

pp. 262-284 ◽

Author(s):

Mokhtar Hafayed ◽

Abdelmadjid Abba ◽

Syed Abbas

Keyword(s):

Maximum Principle ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Optimal Controls ◽

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A Stochastic Maximum Principle for a Stochastic Differential Game of a Mean-Field Type

Applied Mathematics & Optimization ◽

10.1007/s00245-012-9177-x ◽

2012 ◽

Vol 66 (3) ◽

pp. 415-454 ◽

Author(s):

John Joseph Absalom Hosking

Keyword(s):

Maximum Principle ◽

Differential Game ◽

Stochastic Maximum Principle ◽

Stochastic Differential Game ◽

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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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A Stochastic Maximum Principle for General Mean-Field Systems

Applied Mathematics & Optimization ◽

10.1007/s00245-016-9394-9 ◽

2016 ◽

Vol 74 (3) ◽

pp. 507-534 ◽

Author(s):

Rainer Buckdahn ◽

Juan Li ◽

Jin Ma

Keyword(s):

Maximum Principle ◽

Stochastic Maximum Principle ◽

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On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application

Evolution Equations and Control Theory ◽

10.3934/eect.2020035 ◽

2020 ◽

Vol 9 (3) ◽

pp. 817-843

Author(s):

Adel Chala ◽

◽

Dahbia Hafayed

Keyword(s):

Maximum Principle ◽

Stochastic Control ◽

Stochastic Maximum Principle ◽

Risk Sensitive ◽

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