Back to Search Start Over

Optimal control of forward–backward mean-field stochastic delayed systems

Authors :
Agram, Nacira
Engen Rose, Elin
Agram, Nacira
Engen Rose, Elin
Publication Year :
2018

Abstract

We study methods for solving stochastic control problems of systems offorward–backward mean-field equations with delay, in finite and infinite time horizon.Necessary and sufficient maximum principles under partial information are given. The resultsare applied to solve a mean-field recursive utility optimal problem.

Details

Database :
OAIster
Notes :
English
Publication Type :
Electronic Resource
Accession number :
edsoai.on1234086293
Document Type :
Electronic Resource
Full Text :
https://doi.org/10.1007.s13370-017-0532-6