| Issue |
ESAIM: COCV
Volume 29, 2023
|
|
|---|---|---|
| Article Number | 58 | |
| Number of page(s) | 30 | |
| DOI | https://doi.org/10.1051/cocv/2023050 | |
| 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: jiayunxiao@mail.sdu.edu.cn
Received:
11
February
2023
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
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