A maximum principle for SDEs of mean-field type

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

zbMATH Keywords

maximum principle; stochastic control; McKean-Vlasov equation; mean-field SDE; time inconsistent control

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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