Stochastic control for mean-field Stochastic Partial Differential Equations with jumps - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles Journal of Optimization Theory and Applications Year : 2018

Stochastic control for mean-field Stochastic Partial Differential Equations with jumps

Abstract

We study the problem of optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in the case of partial information control. One important novelty of our problem is represented by the introduction of general mean-field operators, acting on both the controlled state process and the control process. We first formulate a sufficient and a necessary maximum principle for this type of control. We then prove existence and uniqueness of the solution of such general forward and backward mean-field stochastic partial differential equations. We finally apply our results to find the explicit optimal control for an optimal harvesting problem.
Fichier principal
Vignette du fichier
DOSfinal.pdf (222.93 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01527225 , version 1 (24-05-2017)

Identifiers

Cite

Roxana Dumitrescu, Bernt Øksendal, Agnès Sulem. Stochastic control for mean-field Stochastic Partial Differential Equations with jumps. Journal of Optimization Theory and Applications, 2018, pp 559-584. ⟨10.1007/s10957-018-1243-3⟩. ⟨hal-01527225⟩
494 View
240 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More