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Optimal control of forward–backward mean-field stochastic delayed systems
University of Oslo, Norway. (Stochastic analysis and stochastic processes)
University of Biskra, Algeria.
2018 (English)In: Afrika Matematika, ISSN 1012-9405, E-ISSN 2190-7668, Vol. 29, no 1-2, p. 149-174Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Springer, 2018. Vol. 29, no 1-2, p. 149-174
National Category
Mathematics Other Mathematics
Research subject
Mathematics, Mathematics
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URN: urn:nbn:se:lnu:diva-82294DOI: 10.1007/s13370-017-0532-6OAI: oai:DiVA.org:lnu-82294DiVA, id: diva2:1307453
Available from: 2019-04-26 Created: 2019-04-26 Last updated: 2019-05-06Bibliographically approved

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Agram, Nacira

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