Volume 29, 2023
|Number of page(s)||30|
|Published online||25 July 2023|
A general maximum principle for progressive optimal control of partially observed mean-field stochastic system with Markov chain
School of Mathematics, Shandong University, Shandong 250100, Jinan, PR China
* Corresponding author: firstname.lastname@example.org
Accepted: 23 June 2023
In this paper, we study an optimal control problem of partially observed mean-field type stochastic control system with Markov chain in progressive structure. The control variable is allowed to enter the diffusion term of the state process and the drift term of the observation process. The control domain need not be convex. In our model, the cost functional and the observation are also of mean-field type. By virtue of a special spike variation, the related stochastic maximum principle has been obtained. The stochastic maximum principle in progressive structure is essentially different from the classical case.
Mathematics Subject Classification: 93E20 / 49N30 / 93C41
Key words: Partial observation / mean-field control / stochastic maximum principle / Markov chain / spike variation
© The authors. Published by EDP Sciences, SMAI 2023
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.