Stochastic maximum principle for discrete time mean-field optimal control problems

Ahmadova A., Mahmudov N.

Optimal Control Applications and Methods, vol.44, no.6, pp.3361-3378, 2023 (SCI-Expanded, Scopus) identifier

  • Nəşrin Növü: Article / Article
  • Cild: 44 Say: 6
  • Nəşr tarixi: 2023
  • Doi nömrəsi: 10.1002/oca.3042
  • jurnalın adı: Optimal Control Applications and Methods
  • Jurnalın baxıldığı indekslər: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Aerospace Database, Communication Abstracts, Compendex, INSPEC, Metadex, zbMATH, Civil Engineering Abstracts
  • Səhifə sayı: pp.3361-3378
  • Açar sözlər: discrete-time backward stochastic equation, mean-field theory, necessary and sufficient conditions, optimal control problem, stochastic maximum principle
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Yox

Qısa məlumat

This article studies optimal control of a discrete-time stochastic differential equation of mean-field type with coefficients dependent on function of the law and state of the process. A new version of the maximum principle for discrete-time mean-field type stochastic optimal control problems is established, using new discrete-time mean-field backward stochastic equations. The cost functional is also of mean-field type. The study derives necessary first-order and sufficient optimality conditions using adjoint equations that take the form of discrete-time backward stochastic differential equations with a mean-field component. An optimization problem for production and consumption choice is used as an example.