A stochastic maximum principle for general mean-field systems
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Publication:520349
DOI10.1007/s00245-016-9394-9zbMath1359.93528OpenAlexW2552466764MaRDI QIDQ520349
Jin Ma, Juan Li, Rainer Buckdahn
Publication date: 3 April 2017
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9394-9
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) PDEs with randomness, stochastic partial differential equations (35R60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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