A Stochastic Maximum Principle for Partially Observed Optimal Control Problem of Mckean–Vlasov FBSDEs with Random Jumps

Author:

Abba Khedidja,Lakhdari Imad EddineORCID

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics

Reference19 articles.

1. Bensoussan, A.: Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions. Stoch. Int. J. Probab. Stoch. Process. 9(3), 169–222 (1983)

2. Buckdahn, R., Li, J., Ma, J.: A stochastic maximum principle for general mean-field systems. Appl. Math. Optim. 74(3), 507–534 (2016)

3. Carmona, R., Delarue, F.: Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics. Ann. Probab. 43(5), 2647–2700 (2015)

4. Cardaliaguet, P.: Notes on Mean Field Games (from P.-L. Lions’ lectures at Collège de France). https://www.ceremade.dauphine.fr/-cardalia/ (2013)

5. Djehiche, B., Tembine, H.: Risk Sensitive Mean-Field Type Control Under Partial Observation. Stochastics of Environmental and Financial Economics, pp. 243–263. Springer, Cham (2016)

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