Infinite horizon optimal control of mean-field type stochastic partial differential equation with Poisson jumps

R. Deepa; P. Muthukumar

doi:10.26637/MJM0704/0037

Abstract

The aim of this paper is to investigate the optimal control of infinite horizon mean-field type stochastic partial differential equation with Poisson jumps. In contrast to finite horizon case, optimality conditions are established through transversality condition. Further, the stochastic maximum principle for optimality is examined under convexity assumption on the control domain, which guarantees the existence of optimal control to concerned system. The necessary condition for optimality is also established. Finally, the theoretical study is discussed through an example of stochastic optimal harvesting problem

Keywords:

Infinite-horizon optimal control, Mean field theory, Stochastic maximum principle, Stochastic partial differential equation, Poisson jump processes

Mathematics Subject Classification:

Mathematics

Authors Imprint References Funding Related Articles Downloads

R. Deepa Department of Mathematics, Gandhigram Rural Institute - Deemed University, Gandhigram - 624 302, Tamilnadu, India.
P. Muthukumar Department of Mathematics, Gandhigram Rural Institute - Deemed University, Gandhigram - 624 302, Tamilnadu, India

Pages: 852-857
Date Published: 01-10-2019
Vol. 7 No. 04 (2019): Malaya Journal of Matematik (MJM)

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