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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.
Cited literature [20 references]
https://hal.inria.fr/hal-01527225
Contributor : Martine Verneuille <>
Submitted on : Wednesday, May 24, 2017 - 10:35:26 AM
Last modification on : Thursday, March 5, 2020 - 6:56:16 PM
Long-term archiving on: : Monday, August 28, 2017 - 5:06:28 PM
Contributor : Martine Verneuille <>
Submitted on : Wednesday, May 24, 2017 - 10:35:26 AM
Last modification on : Thursday, March 5, 2020 - 6:56:16 PM
Long-term archiving on: : Monday, August 28, 2017 - 5:06:28 PM
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