3 papers
math.OC2019
Mean-field FBSDE and optimal control
Nacira Agram, Salah Eddine Choutri
We study optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality condition…
math.PR2018
Mean-field risk sensitive control and zero-sum games for Markov chains
Salah Eddine Choutri, Boualem Djehiche
We establish existence of controlled Markov chain of mean-field type with unbounded jump intensities by means of a fixed point argument using the Wasserstein distance. Using a Mark…
math.PR2017
On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
Amel Redjil, Salah Eddine Choutri
In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.