On Near-Optimal Mean-Field Stochastic Singular Controls: Necessary and Sufficient Conditions for Near-Optimality

Mokhtar Hafayed () and Syed Abbas ()
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Mokhtar Hafayed: Biskra University
Syed Abbas: Indian Institute of Technology Mandi

Journal of Optimization Theory and Applications, 2014, vol. 160, issue 3, No 5, 778-808

Abstract: Abstract Near-optimization is as sensible and important as optimization for both theory and applications. This paper deals with necessary and sufficient conditions for near-optimal singular stochastic controls for nonlinear controlled stochastic differential equations of mean-field type, which is also called McKean–Vlasov-type equations. The proof of our main result is based on Ekeland’s variational principle and some estimates of the state and adjoint processes. It is shown that optimal singular control may fail to exist even in simple cases, while near-optimal singular controls always exist. This justifies the use of near-optimal stochastic controls, which exist under minimal hypotheses and are sufficient in most practical cases. Moreover, since there are many near-optimal singular controls, it is possible to select among them appropriate ones that are easier for analysis and implementation. Under an additional assumptions, we prove that the near-maximum condition on the Hamiltonian function is a sufficient condition for near-optimality. This paper extends the results obtained in (Zhou, X.Y.: SIAM J. Control Optim. 36(3), 929–947, 1998) to a class of singular stochastic control problems involving stochastic differential equations of mean-field type. An example is given to illustrate the theoretical results.

Keywords: Mean-field stochastic differential equations; Near-optimal singular stochastic control; Necessary and sufficient conditions of near-optimality; Ekeland’s variational principle. Generalized gradient (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10957-013-0361-1

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