A mixed relaxed-singular optimal controls for systems of forward-backward stochastic differential equations of mean-field type
Küçük Resim Yok
Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Maltepe Üniversitesi
Erişim Hakkı
CC0 1.0 Universal
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
In this work, we consider a singular control problem for systems of forward-backward stochastic differential equations of mean-field type (MF-FBSDEs) in which the control variable consists of two components: an absolutely continuous control and a singular one. The coefficients depend on the states of the solution processes as well as their distribution via the expectation of some function of states. Moreover the cost functional is also of mean-field type. We prove in particular, the existence of optimal relaxed-singular controls as well as optimal regular-singular controls for systems of MF-FBSDEs.
Açıklama
Anahtar Kelimeler
Mean-field forward backward SDEs, Regular-singular control, Relaxed-singular control
Kaynak
International Conference of Mathematical Sciences (ICMS 2019)
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
Künye
Boulakhras, G. ve Abdelhakim, N. (2019). A mixed relaxed-singular optimal controls for systems of forward-backward stochastic differential equations of mean-field type. International Conference of Mathematical Sciences (ICMS 2019). s. 181.
