Optimal Control of Diffusion Processes with Terminal Constraint in Law

被引：2
|
作者：
Daudin, Samuel [1 ]
机构：
[1] Univ Paris 09, PSL Res Univ, CEREMADE, Pl Lattre Tassigny, F-75016 Paris, France
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2022年 / 195卷 / 01期
基金：
美国国家科学基金会;
关键词：
Stochastic control; Constraints in law; Hamilton-Jacobi-Bellman equation; Fokker-Planck equation; Mean field games; Minmax; Convex duality; STOCHASTIC TARGET PROBLEMS; MEAN-FIELD GAMES; VISCOSITY SOLUTIONS; REGULARITY THEORY; DUALITY; HOMOGENIZATION;
D O I：
10.1007/s10957-022-02053-8
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Stochastic optimal control problems with constraints on the probability distribution of the final output are considered. Necessary conditions for optimality in the form of a coupled system of partial differential equations involving a forward Fokker-Planck equation and a backward Hamilton-Jacobi-Bellman equation are proved using convex duality techniques.
引用
收藏
页码：1 / 41
页数：41
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