Stability of McKean–Vlasov stochastic differential equations and applications
K Bahlali, MA Mezerdi, B Mezerdi - Stochastics and Dynamics, 2020 - World Scientific
We consider McKean–Vlasov stochastic differential equations (MVSDEs), which are SDEs
where the drift and diffusion coefficients depend not only on the state of the unknown …
where the drift and diffusion coefficients depend not only on the state of the unknown …
Existence of optimal controls for systems governed by mean-field stochastic differential equations
K Bahlali, M Mezerdiz, B Mezerdi - Afrika Statistika, 2014 - ajol.info
In this paper, we study the existence of an optimal control for systems, governed by
stochastic dierential equations of mean-eld type. For non linear systems, we prove the …
stochastic dierential equations of mean-eld type. For non linear systems, we prove the …
Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls
In this paper, we consider nonconvex control problems of stochastic differential equations
driven by relaxed controls adapted, in the weak star sense, to a current of sigma algebras …
driven by relaxed controls adapted, in the weak star sense, to a current of sigma algebras …
Necessary and sufficient optimality conditions for relaxed and strict control problems
S Bahlali - SIAM journal on control and optimization, 2008 - SIAM
We consider a stochastic control problem where the set of strict (classical) controls is not
necessarily convex, and the system is governed by a nonlinear stochastic differential …
necessarily convex, and the system is governed by a nonlinear stochastic differential …
On the relaxed mean-field stochastic control problem
K Bahlali, M Mezerdi, B Mezerdi - Stochastics and Dynamics, 2018 - World Scientific
This paper is concerned with optimal control problems for systems governed by mean-field
stochastic differential equation, in which the control enters both the drift and the diffusion …
stochastic differential equation, in which the control enters both the drift and the diffusion …
N-Player games and mean-field games with smooth dependence on past absorptions
Mean-field games with absorption is a class of games that has been introduced in (Ann.
Appl. Probab. 28 (2018) 2188–2242) and that can be viewed as natural limits of symmetric …
Appl. Probab. 28 (2018) 2188–2242) and that can be viewed as natural limits of symmetric …
Existence and optimality conditions for relaxed mean-field stochastic control problems
K Bahlali, M Mezerdi, B Mezerdi - Systems & Control Letters, 2017 - Elsevier
We consider optimal control problems for systems governed by mean-field stochastic
differential equations, where the control enters both the drift and the diffusion coefficient. We …
differential equations, where the control enters both the drift and the diffusion coefficient. We …
The stochastic maximum principle for relaxed control problem with regime-switching
Y Chen, T Nie, Z Wu - Systems & Control Letters, 2022 - Elsevier
We study a stochastic relaxed control problem with regime-switching, in which the control
enters both the drift and the diffusion coefficients. The goal is to establish the stochastic …
enters both the drift and the diffusion coefficients. The goal is to establish the stochastic …
[PDF][PDF] On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
A Redjil, SE Choutri - arxiv preprint arxiv:1702.08735, 2017 - arxiv.org
arxiv:1702.08735v1 [math.PR] 28 Feb 2017 Page 1 arxiv:1702.08735v1 [math.PR] 28 Feb 2017
ON RELAXED STOCHASTIC OPTIMAL CONTROL FOR STOCHASTIC DIFFERENTIAL …
ON RELAXED STOCHASTIC OPTIMAL CONTROL FOR STOCHASTIC DIFFERENTIAL …
Compactification in optimal control of McKean‐Vlasov stochastic differential equations
MA Mezerdi - Optimal Control Applications and Methods, 2021 - Wiley Online Library
We study existence and approximation of optimal controls for systems governed by McKean‐
Vlasov stochastic differential equations. It is well known in simple examples that in the …
Vlasov stochastic differential equations. It is well known in simple examples that in the …