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
收藏
页码：103 / 115
页数：13
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