Partial information maximum principle for optimal control problem with regime switching in the conditional mean-field model

被引：0

作者：

Tamer, Lazhar ^{[1
]}

Ben Abdallah, Hani ^{[1
]}

机构：

[1] Mohamed Khider Univ, Lab Math, Biskra POB 145, Biskra 07000, Algeria

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2023年 / 31卷 / 02期

关键词：

Stochastic maximum principle; optimal control; partial information; Markov regime switching; conditional mean field; STOCHASTIC DIFFERENTIAL-EQUATIONS; JUMP-DIFFUSION MODEL; SYSTEM;

D O I：

10.1515/rose-2022-2094

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is concerned with a stochastic optimal control problem for a Markov regime switching in the conditional mean field model. Sufficient and necessary maximum principles for optimal control under partial information are obtained. Finally, we illustrate our result through a model which gives an explicit solution.

引用

页码：103 / 115

页数：13

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