Optimal control of general McKean-Vlasov stochastic evolution equations on Hilbert spaces and necessary conditions of optimality

2015 ◽  
Vol 35 (2) ◽  
pp. 165 ◽  
Author(s):  
N.U. Ahmed
Keyword(s):  
Optimal Control ◽  
Hilbert Spaces ◽  
Evolution Equations ◽  
Necessary Conditions ◽  
Stochastic Evolution ◽  
Stochastic Evolution Equations ◽  
Necessary Conditions Of Optimality

scholarly journals Mean-Field Backward Stochastic Evolution Equations in Hilbert Spaces and Optimal Control for BSPDEs

2014 ◽  
Vol 2014 ◽  
pp. 1-18 ◽  
Author(s):  
Ruimin Xu ◽  
Tingting Wu
Keyword(s):  
Optimal Control ◽  
Hilbert Spaces ◽  
Existence And Uniqueness ◽  
Evolution Equations ◽  
Mild Solutions ◽  
Mean Field ◽  
Uniqueness Result ◽  
The State ◽  
Stochastic Evolution ◽  
Stochastic Evolution Equations

We obtain the existence and uniqueness result of the mild solutions to mean-field backward stochastic evolution equations (BSEEs) in Hilbert spaces under a weaker condition than the Lipschitz one. As an intermediate step, the existence and uniqueness result for the mild solutions of mean-field BSEEs under Lipschitz condition is also established. And then a maximum principle for optimal control problems governed by backward stochastic partial differential equations (BSPDEs) of mean-field type is presented. In this control system, the control domain need not to be convex and the coefficients, both in the state equation and in the cost functional, depend on the law of the BSPDE as well as the state and the control. Finally, a linear-quadratic optimal control problem is given to explain our theoretical results.

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