Lions's partial derivatives with respect to probability measures for general mean-field stochastic control problem
محل انتشار: مجله مدلسازی ریاضی، دوره: 12، شماره: 3
سال انتشار: 1403
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 48
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شناسه ملی سند علمی:
JR_JMMO-12-3_009
تاریخ نمایه سازی: 6 مهر 1403
چکیده مقاله:
In this paper, a necessary stochastic maximum principle for stochastic model governed by mean-field nonlinear controlled It\rm{\ddot{o}}-stochastic differential equations is proved. The coefficients of our model are nonlinear and depend explicitly on the control variable, the state process as well as of its probability distribution. The control region is assumed to be bounded and convex. Our main result is derived by applying the Lions's partial-derivatives with respect to random measures in Wasserstein space. The associated It\rm{\ddot{o}}-formula and convex-variation approach are applied to establish the optimal control.
کلیدواژه ها:
Stochastic mean-field models ، stochastic control ، Lions's partial-derivatives with respect to measures ، maximum principle ، probability measure
نویسندگان
Fatiha Korichi
Laboratory of Mathematical Analysis, Probability and Optimizations, Department of Mathematics, University of Biskra, PO Box ۱۴۵, Biskra ۷۰۰۰, Algeria
Mokhtar Hafayed
Laboratory of Mathematical Analysis, Probability and Optimizations, Department of Mathematics, University of Biskra, PO Box ۱۴۵, Biskra ۷۰۰۰, Algeria