A maximum principle for SDEs of mean-field type (Q538473): Difference between revisions

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+K45
@@ Property / Mathematics Subject Classification ID: 49K45 / rank @@
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+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
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@@ Property / zbMATH DE Number @@
+5899601
@@ Property / zbMATH DE Number: 5899601 / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic control
@@ Property / zbMATH Keywords: stochastic control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+maximum principle
@@ Property / zbMATH Keywords: maximum principle / rank @@
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@@ Property / zbMATH Keywords @@
+mean-field SDE
@@ Property / zbMATH Keywords: mean-field SDE / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+McKean-Vlasov equation
@@ Property / zbMATH Keywords: McKean-Vlasov equation / rank @@
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@@ Property / zbMATH Keywords @@
+time inconsistent control
@@ Property / zbMATH Keywords: time inconsistent control / rank @@
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+https://doi.org/10.1007/s00245-010-9123-8
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+W2037152246
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@@ Property / cites work: Q4742671 / rank @@
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@@ Property / cites work @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
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@@ Property / cites work @@
+Mean-field backward stochastic differential equations and related partial differential equations
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@@ Property / cites work @@
+Mean-field backward stochastic differential equations: A limit approach
+Normal rank
@@ Property / cites work @@
+The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
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@@ Property / cites work @@
+Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
+Normal rank
@@ Property / cites work @@
+Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
+Normal rank
@@ Property / cites work @@
+Nonlinear SDEs driven by L\'evy processes and related PDEs
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@@ Property / cites work @@
+Q3250845
@@ Property / cites work: Q3250845 / rank @@
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@@ Property / cites work @@
+Mean field games
@@ Property / cites work: Mean field games / rank @@
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@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
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@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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@@ links / mardi / name / links / mardi / name @@
+Publication:538473