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Optimal Control in Random Environments: Pontryagin Maximum Principle with Environment-Dependent Jumps and Mean-Field Games with Common Poissonian Nois

Optimal Control in Random Environments: Pontryagin Maximum Principle with Environment-Dependent Jumps and Mean-Field Games with Common Poissonian Nois

Paperback

Series: Springerbriefs in Mathematics

Probability & Statistics

ISBN10: 3032256402
ISBN13: 9783032256409
Publisher: Springer
Published: Aug 7 2026
Pages: 126
Weight: 0.49
Height: 0.30 Width: 6.19 Depth: 9.24
Language: English
This book is an essential reference for researchers and advanced students working in stochastic control, applied probability, mathematical finance, engineering systems, and the growing field of mean-field modeling.

Optimal Control in Random Environments offers a modern and comprehensive treatment of stochastic optimal control in systems driven simultaneously by Brownian noise and marked Poisson jumps with random intensity. A central contribution of this work is its rigorous integration of random environments--probability-measure-valued processes that shape both the coefficients of the governing SDEs and the jump intensities themselves.

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Probability & Statistics