Maximum principle for optimal control of McKean‐Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law (Q5241026): Difference between revisions
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Revision as of 19:26, 5 March 2024
scientific article; zbMATH DE number 7124165
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum principle for optimal control of McKean‐Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law |
scientific article; zbMATH DE number 7124165 |
Statements
Maximum principle for optimal control of McKean‐Vlasov FBSDEs with Lévy process via the differentiability with respect to probability law (English)
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29 October 2019
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derivative with respect to probability law
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maximum principle
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McKean-Vlasov forward-backward stochastic systems with Lévy process
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optimal stochastic control
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Teugels martingales
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