On Mean-Field Partial Information Maximum Principle of Optimal Control for Stochastic Systems with Lévy Processes

Mokhtar Hafayed (), Syed Abbas () and Abdelmadjid Abba ()
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Mokhtar Hafayed: Biskra University
Syed Abbas: School of Basic Sciences, Indian Institute of Technology
Abdelmadjid Abba: Biskra University

Journal of Optimization Theory and Applications, 2015, vol. 167, issue 3, No 17, 1069 pages

Abstract: Abstract In this paper, we study the mean-field-type partial information stochastic optimal control problem, where the system is governed by a controlled stochastic differential equation, driven by the Teugels martingales associated with some Lévy processes and an independent Brownian motion. We derive necessary and sufficient conditions of the optimal control for these mean-field models in the form of a maximum principle. The control domain is assumed to be convex. As an application, the partial information linear quadratic control problem of the mean-field type is discussed.

Keywords: Optimal stochastic control; Teugels martingales; Mean-field stochastic differential equation; Lévy processes; Mean-field-type maximum principle; Feedback control; 60H10; 93E20 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10957-015-0762-4

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