McKean-Vlasov optimal control: the dynamic programming principle
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Publication:2129699
DOI10.1214/21-AOP1548zbMath1491.49018arXiv1907.08860OpenAlexW2963164374MaRDI QIDQ2129699
Mao Fabrice Djete, Xiaolu Tan, Dylan Possamaï
Publication date: 22 April 2022
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.08860
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Existence of optimal solutions to problems involving randomness (49J55)
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