Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics (Q4600443): Difference between revisions

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scientific article; zbMATH DE number 6823260

Language	Label	Description	Also known as
English	Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics	scientific article; zbMATH DE number 6823260

Statements

instance of

scholarly article

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title

Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics (English)

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Transactions of the American Mathematical Society

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publication date

9 January 2018

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full work available at URL

https://arxiv.org/abs/1606.08204

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zbMATH Keywords

controlled McKean-Vlasov stochastic differential equations

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dynamic programming principle

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randomization method

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forward-backward stochastic differential equations

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MaRDI profile type

MaRDI publication profile

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cites work

A maximum principle for SDEs of mean-field type

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Extension of uniformly continuous transformations and hyperconvex metric spaces

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Fundamentals of stochastic filtering

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On the interpretation of the master equation

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Mean Field Games and Mean Field Type Control Theory

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Stochastic optimal control. The discrete time case

0 references

A general stochastic maximum principle for SDEs of mean-field type

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Mean-field stochastic differential equations and associated PDEs

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Q2807034

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The Master Equation for Large Population Equilibriums

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Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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Control of McKean-Vlasov dynamics versus mean field games

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Mean field games and systemic risk

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Backward SDE representation for stochastic control problems with nondominated controlled intensity

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Randomized and backward SDE representation for optimal control of non-Markovian SDEs

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Differential forms on Wasserstein space and infinite-dimensional Hamiltonian systems

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Q2774021

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Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

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Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE

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Q3532736

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Limit Theory for Controlled McKean--Vlasov Dynamics

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Dynamic programming for mean-field type control

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Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

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Q4226355

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Calcul stochastique d�pendant d'un param�tre

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Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps

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Optimal Transport

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Identifiers

zbMATH Open document ID

1381.93102

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DOI

10.1090/tran/7118

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4600443

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+.08204
@@ Property / arXiv ID: 1606.08204 / rank @@
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@@ Property / cites work @@
+A maximum principle for SDEs of mean-field type
@@ Property / cites work: A maximum principle for SDEs of mean-field type / rank @@
+Normal rank
@@ Property / cites work @@
+Extension of uniformly continuous transformations and hyperconvex metric spaces
+Normal rank
@@ Property / cites work @@
+Fundamentals of stochastic filtering
@@ Property / cites work: Fundamentals of stochastic filtering / rank @@
+Normal rank
@@ Property / cites work @@
+On the interpretation of the master equation
@@ Property / cites work: On the interpretation of the master equation / rank @@
+Normal rank
@@ Property / cites work @@
+Mean Field Games and Mean Field Type Control Theory
+Normal rank
@@ Property / cites work @@
+Stochastic optimal control. The discrete time case
+Normal rank
@@ Property / cites work @@
+A general stochastic maximum principle for SDEs of mean-field type
+Normal rank
@@ Property / cites work @@
+Mean-field stochastic differential equations and associated PDEs
+Normal rank
@@ Property / cites work @@
+Q2807034
@@ Property / cites work: Q2807034 / rank @@
+Normal rank
@@ Property / cites work @@
+The Master Equation for Large Population Equilibriums
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
+Normal rank
@@ Property / cites work @@
+Control of McKean-Vlasov dynamics versus mean field games
+Normal rank
@@ Property / cites work @@
+Mean field games and systemic risk
@@ Property / cites work: Mean field games and systemic risk / rank @@
+Normal rank
@@ Property / cites work @@
+Backward SDE representation for stochastic control problems with nondominated controlled intensity
+Normal rank
@@ Property / cites work @@
+Randomized and backward SDE representation for optimal control of non-Markovian SDEs
+Normal rank
@@ Property / cites work @@
+Differential forms on Wasserstein space and infinite-dimensional Hamiltonian systems
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
+Normal rank
@@ Property / cites work @@
+Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
+Normal rank
@@ Property / cites work @@
+Q3532736
@@ Property / cites work: Q3532736 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit Theory for Controlled McKean--Vlasov Dynamics
+Normal rank
@@ Property / cites work @@
+Dynamic programming for mean-field type control
@@ Property / cites work: Dynamic programming for mean-field type control / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Calcul stochastique d�pendant d'un param�tre
@@ Property / cites work: Calcul stochastique d�pendant d'un param�tre / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Optimal Transport
@@ Property / cites work: Optimal Transport / rank @@
+Normal rank