EDP Sciences logo
Subscriber Authentication Point
Search
Menu
All issues Volume 29 (2023) ESAIM: COCV, 29 (2023) 58 References
Open Access
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
  1. B. Acciaio, J. Backhoff-Veraguas and R. Carmona, Extended mean field control problems: stochastic maximum principle and transport perspective. SIAM J. Control Optim. 57 (2019) 3666–3693. [CrossRef] [MathSciNet] [Google Scholar]
  2. D. Andersson and B. Djehiche, A maximum principle for SDEs of mean-field type. Appl. Math. Optim. 63 (2011) 341–356. [Google Scholar]
  3. A. Bensoussan, Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions. Stochastics 9 (1983) 169–222. [CrossRef] [MathSciNet] [Google Scholar]
  4. J. Bismut, An introductory approach to duality in optimal stochastic control. SIAM Rev. 20 (1978) 62–78. [CrossRef] [MathSciNet] [Google Scholar]
  5. R. Buckdahn, B. Djehiche and J. Li, A general stochastic maximum principle for SDEs of mean-field type. Appl. Math. Optim. 64 (2011) 197–216. [Google Scholar]
  6. T. Chen and Z. Wu, A general maximum principle for partially observed mean-field stochastic system with random jumps in progressive structure. Math. Control Relat. Fields 13 (2023) 664–694. [CrossRef] [MathSciNet] [Google Scholar]
  7. T. Chen, Y. Song and Z. Wu, The maximum principle for stochastic control problem with Markov chain in progressive structure. Syst. Control Lett. 166 (2022) 105303. [CrossRef] [Google Scholar]
  8. C. Donnelly, Sufficient stochastic maximum principle in a regime-switching diffusion model. Appl. Math. Optim. 64 (2011) 155–169. [CrossRef] [MathSciNet] [Google Scholar]
  9. R.J. Elliott, T.K. Siu and A. Badescu, On pricing and hedging options in regime-switching models with feedback effect. J. Econ. Dyn. Control 35 (2011) 694–713. [CrossRef] [Google Scholar]
  10. U.G. Haussmann, The maximum principle for optimal control of diffusions with partial information. SIAM J. Control Optim. 25 (1987) 341–361. [CrossRef] [MathSciNet] [Google Scholar]
  11. S. He, J. Wang and J. Yan, Semimartingale Theory and Stochastic Calculus. Routledge (2019). [Google Scholar]
  12. M. Hu, Stochastic global maximum principle for optimization with recursive utilities. Probab. Uncertain. Quantit. Risk 2 (2017) 1–20. [CrossRef] [Google Scholar]
  13. J. Huang, X. Li and J. Yong, A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon. Math. Control Relat. Fields 5 (2015) 97–139. [CrossRef] [MathSciNet] [Google Scholar]
  14. M. Huang, R.P. Malhamé and P.E. Caines, Large population stochastic dynamic games: closed-loop McKean–Vlasov systems and the Nash certainty equivalence principle. Commun. Inf. Syst. 6 (2006) 221–252. [CrossRef] [MathSciNet] [Google Scholar]
  15. J.M. Lasry and P.L. Lions, Mean field games. Jap. J. Math. 2 (2007) 229–260. [CrossRef] [Google Scholar]
  16. R. Li and F. Fu, The maximum principle for partially observed optimal control problems of mean-field FBSDEs. Int. J. Control 92 (2019) 2463–2472. [CrossRef] [Google Scholar]
  17. X. Li, J. Sun and J. Yong, Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability. Probab. Uncertain. Quantit. Risk 1 (2016) 1–24. [CrossRef] [MathSciNet] [Google Scholar]
  18. X. Li and S. Tang, General necessary conditions for partially observed optimal stochastic controls. J. Appl. Probab. 32 (1995) 1118–1137. [CrossRef] [MathSciNet] [Google Scholar]
  19. T. Meyer-Brandis, B. Øksendal and X.Y. Zhou, A mean-field stochastic maximum principle via Malliavin calculus. Stochastics 84 (2012) 643–666. [CrossRef] [MathSciNet] [Google Scholar]
  20. S. Peng, A general stochastic maximum principle for optimal control problems. SIAM J. Control Optim. 28 (1990) 966–979. [Google Scholar]
  21. Y. Shen, Q. Meng and P. Shi, Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance. Automatica 50 (2014) 1565–1579. [CrossRef] [MathSciNet] [Google Scholar]
  22. Y. Shen and T.K. Siu, The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem. Nonlinear Anal.-Theory Methods Appl. 86 (2013) 58–73. [CrossRef] [Google Scholar]
  23. Y. Song, S. Tang and Z. Wu, The maximum principle for progressive optimal stochastic control problems with random jumps. SIAM J. Control Optim. 58 (2020) 2171–2187. [CrossRef] [MathSciNet] [Google Scholar]
  24. Y. Song and Z. Wu, A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching. ESAIM-Control Optim. Calc. Var. 28 (2022) 61. [CrossRef] [EDP Sciences] [Google Scholar]
  25. J. Sun, H. Wang and Z. Wu, Mean-field linear-quadratic stochastic differential games. J. Differ. Equ. 296 (2021) 299–334. [CrossRef] [Google Scholar]
  26. Z. Sun and O. Menoukeu-Pamen, The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system. Stoch. Anal. Appl. 36 (2018) 782–811. [CrossRef] [MathSciNet] [Google Scholar]
  27. S. Tang and X. Li, Necessary conditions for optimal control of stochastic systems with random jumps. SIAM J. Control Optim. 32 (1994) 1447–1475. [CrossRef] [MathSciNet] [Google Scholar]
  28. R. Tao and Z. Wu, Maximum principle for optimal control problems of forward-backward regime-switching system and applications. Syst. Control Lett. 61 (2012) 911–917. [CrossRef] [Google Scholar]
  29. B.C. Wang, H. Zhang and J.F. Zhang, Mean field linear-quadratic control: Uniform stabilization and social optimality. Automatica 121 (2020) 109088. [CrossRef] [Google Scholar]
  30. G. Wang and Z. Wu, The maximum principles for stochastic recursive optimal control problems under partial information. IEEE Trans. Autom. Control 54 (2009) 1230–1242. [CrossRef] [Google Scholar]
  31. Z. Wu, A maximum principle for partially observed optimal control of forward-backward stochastic control systems. Sci. China-Inf. Sci. 53 (2010) 2205–2214. [CrossRef] [MathSciNet] [Google Scholar]
  32. Z. Wu, A general maximum principle for optimal control of forward–backward stochastic systems. Automatica 49 (2013) 1473–1480. [CrossRef] [MathSciNet] [Google Scholar]
  33. J. Yong, Linear-quadratic optimal control problems for mean-field stochastic differential equations. SIAM J. Control Optim. 51 (2013) 2809–2838. [Google Scholar]
  34. Q. Zhang, Stock trading: an optimal selling rule. SIAM J. Control Optim. 40 (2001) 64–87. [CrossRef] [MathSciNet] [Google Scholar]
  35. X. Zhang, Z. Sun and J. Xiong, A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type. SIAM J. Control Optim. 56 (2018) 2563–2592. [Google Scholar]
  36. X.Y. Zhou, On the necessary conditions of optimal controls for stochastic partial differential equations. SIAM J. Control Optim. 31 (1993) 1462–1478. [CrossRef] [MathSciNet] [Google Scholar]
  37. X.Y. Zhou and G. Yin, Markowitz’s mean-variance portfolio selection with regime switching: a continuous-time model. SIAM J. Control Optim. 42 (2003) 1466–1482. [CrossRef] [MathSciNet] [Google Scholar]
  38. Q. Zhou, Y. Ren and W. Wu, On optimal mean-field control problem of mean-field forward-backward stochastic system with jumps under partial information. J. Syst. Sci. Complex. 30 (2017) 828–856. [CrossRef] [MathSciNet] [Google Scholar]

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.