Develops SMP for non-convex mean-field control with joint law dependence and Poisson common noise via relaxed controls and extension transformation, then derives equivalent HJB on measure space.
Peng (1990): A general stochastic maximum principle for opt imal control problems
2 Pith papers cite this work. Polarity classification is still indexing.
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math.OC 2years
2024 2verdicts
UNVERDICTED 2representative citing papers
The paper derives the stochastic maximum principle for mean-field control under dynamic constraints by embedding the problem in Banach-space optimization and applying generalized Fritz-John conditions to obtain a BSDE as the Lagrange multiplier.
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Extended mean-field control problems with Poissonian common noise: Stochastic maximum principle and Hamiltonian-Jacobi-Bellman equation
Develops SMP for non-convex mean-field control with joint law dependence and Poisson common noise via relaxed controls and extension transformation, then derives equivalent HJB on measure space.
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Extended mean-field control under constraints: The generalized Fritz-John conditions and Lagrangian method
The paper derives the stochastic maximum principle for mean-field control under dynamic constraints by embedding the problem in Banach-space optimization and applying generalized Fritz-John conditions to obtain a BSDE as the Lagrange multiplier.