most citedExistence and optimality conditions for relaxed mean-field stochastic control problems

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math.OC2017★ 11 cited

Existence and optimality conditions for relaxed mean-field stochastic control problems

Khaled Bahlali, Meriem Mezerdi, Brahim Mezerdi

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…

math.OC2017★ 2 cited

Existence of an Optimal Control for a coupled FBSDE with a non degenerate diffusion coefficient

Khaled Bahlali, Omar Kebiri, Brahim Mezerdi +1

We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the s…