A maximum principle for SDEs of mean-field type
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Publication:538473
DOI10.1007/s00245-010-9123-8zbMath1215.49034MaRDI QIDQ538473
Boualem Djehiche, Daniel Andersson
Publication date: 25 May 2011
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-010-9123-8
maximum principle; stochastic control; McKean-Vlasov equation; mean-field SDE; time inconsistent control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
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