Optimal control of McKean-Vlasov equations with controlled stochasticity
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.
Authors
- Peter Kuchling (ORCID: https://orcid.org/0000-0002-8241-4076)
- Luca Di Persio (ORCID: https://orcid.org/0000-0002-0317-4351)
Institutions
- Hochschule Bielefeld (DE)
Publication Details
- Journal
- Evolution equations and control theory
- Published
- 2024-10-18
- DOI
- https://doi.org/10.3934/eect.2024058
- Citations
- 2
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 1.08