On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures |
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Authors: | Mokhtar Hafayed Abdelmadjid Abba Syed Abbas |
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Affiliation: | 1. Laboratory of Applied Mathematics, Biskra University, Biskra, Algeria;2. School of Basic Sciences, Indian Institute of Technology Mandi, Mandi, India |
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Abstract: | This paper is concerned with partial-information mixed optimal stochastic continuous–singular control problem for mean-field stochastic differential equation driven by Teugels martingales and an independent Brownian motion, where the Teugels martingales are a family of pairwise strongly orthonormal martingales associated with Lévy processes. The control variable has two components; the first being absolutely continuous, and the second singular. Partial-information necessary and sufficient conditions of optimal continuous–singular control for these mean-field models are investigated. As an illustration, this paper studies a partial-information linear quadratic control problem of mean-field type involving continuous–singular control. |
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Keywords: | Teugels martingales measures singular stochastic control mean-field systems Lévy processes partial-information necessary and sufficient conditions of optimality |
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