Extended mean-field control problem with partial observation
نویسندگان
چکیده
We study an extended mean-field control problem with partial observation, where the dynamic of state is given by a forward-backward stochastic differential equation McKean-Vlasov type. The cost functional, and observation all depend on joint distribution process. Our motivated recent popular subject games related problems first establish necessary condition in form Pontryagin’s maximum principle for optimality. Then verification theorem obtained optimal under some convex conditions Hamiltonian function. results are also applied to studying linear-quadratic mean-filed type scalar interaction.
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ژورنال
عنوان ژورنال: ESAIM: Control, Optimisation and Calculus of Variations
سال: 2022
ISSN: ['1262-3377', '1292-8119']
DOI: https://doi.org/10.1051/cocv/2022010