Work

Optimal control of McKean-Vlasov equations with controlled stochasticity

Year: 2024

Type: article

Abstract: In this article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To this end, we consider the underlying Fokker-Planck equation to transform the stochastic optimal control problem into a deterministic problem with open-loop controller.

Source: Evolution equations and control theory

DOI: 10.3934/eect.2024058

Authors: Luca Di Persio, Peter Kuchling

Institution: Hochschule Bielefeld

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4403548635

FWCI: 1.095

Cites: 22

Cited by: 3

Related to: 10