dc.date.accessioned | 2020-03-31T18:37:09Z | |
dc.date.available | 2020-03-31T18:37:09Z | |
dc.date.created | 2019-09-20T09:29:07Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Øksendal, Bernt Sulem, Agnès Dumitrescu, Roxana . Stochastic control of general mean-field SPDEs with jumps. Journal of Optimization Theory and Applications. 2018, 176(3), 559-584 | |
dc.identifier.uri | http://hdl.handle.net/10852/74325 | |
dc.description.abstract | We study optimal control for mean-field stochastic partial differential equations (stochastic evolution equations) driven by a Brownian motion and an independent Poisson random measure, in 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 the existence and uniqueness of the solution of such general forward and backward mean-field stochastic partial differential equations. We apply our results to find the explicit optimal control for an optimal harvesting problem. | |
dc.language | EN | |
dc.publisher | Kluwer Academic/Plenum Publishers | |
dc.title | Stochastic control of general mean-field SPDEs with jumps | |
dc.type | Journal article | |
dc.creator.author | Øksendal, Bernt | |
dc.creator.author | Sulem, Agnès | |
dc.creator.author | Dumitrescu, Roxana | |
cristin.unitcode | 185,15,13,0 | |
cristin.unitname | Matematisk institutt | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1727023 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal of Optimization Theory and Applications&rft.volume=176&rft.spage=559&rft.date=2018 | |
dc.identifier.jtitle | Journal of Optimization Theory and Applications | |
dc.identifier.volume | 176 | |
dc.identifier.issue | 3 | |
dc.identifier.startpage | 559 | |
dc.identifier.endpage | 584 | |
dc.identifier.doi | https://doi.org/10.1007/s10957-018-1243-3 | |
dc.identifier.urn | URN:NBN:no-77435 | |
dc.type.document | Tidsskriftartikkel | |
dc.source.issn | 0022-3239 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/74325/2/DOSJOTA-revised3-31Jan.pdf | |
dc.type.version | SubmittedVersion | |