A mean-field stochastic maximum principle via Malliavin calculus

DOI10.1080/17442508.2011.651619zbMath1252.49039arXiv0911.3720OpenAlexW2019740115MaRDI QIDQ3145081

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Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3720

zbMATH Keywords

maximum principlestochastic controlMalliavin calculuspartial informationjump diffusionmean-field type

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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