Singular optimal control problems with recursive utilities of mean‐field type | Zendy

Hao Tao | Zendy; Meng Qingxin | Zendy

AI Assistant Blog Pricing

Home ZAIA Blog

Premium

Singular optimal control problems with recursive utilities of mean‐field type

Author(s) -

Hao Tao,

Meng Qingxin

Publication year - 2021

Publication title -

asian journal of control

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.769

H-Index - 53

eISSN - 1934-6093

pISSN - 1561-8625

DOI - 10.1002/asjc.2307

Subject(s) - mathematics , optimal control , mean field theory , stochastic differential equation , singular control , singular solution , mathematical optimization , field (mathematics) , stochastic control , maximum principle , order (exchange) , control (management) , type (biology) , matrix (chemical analysis) , control theory (sociology) , mathematical analysis , computer science , pure mathematics , ecology , physics , finance , quantum mechanics , artificial intelligence , economics , biology , materials science , composite material

In this paper a second‐order necessary condition for singular optimal controls with recursive utilities of mean‐field control systems is investigated. For our mean‐field singular control problem, the second‐order adjoint system is not a single mean‐field backward stochastic differential equation (BSDE), but a matrix‐valued system, which consists of three classical BSDEs. Based on this observation, a new second‐order expansion of cost functionalY εis proved and also the stochastic maximum principle. Our method is appropriate for a large class of mean‐field singular optimal control problems.

This content is not available in your region!

Continue researching here.

Having issues? You can contact us here

Accelerating Research