On Peng's type maximum principle for optimal control of mean-field stochastic differential equations with jump processes
by Shahlar Meherrem; Mokhtar Hafayed; Syed Abbas
International Journal of Modelling, Identification and Control (IJMIC), Vol. 31, No. 3, 2019

Abstract: In this paper, we investigate the Peng's type optimal control problems for stochastic differential equations of mean-field type with jump processes. The coefficients of the system contain not only the state process but also its marginal distribution through their expected values. We assume that the control set is a general open set that is not necessary convex. The control variable is allowed to enter into both diffusion and jump terms. We extend the maximum principle of Buckdahn et al. (2011) to jump case.

Online publication date: Tue, 02-Apr-2019

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Modelling, Identification and Control (IJMIC):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com