A maximum principle for fully coupled stochastic control systems of mean-field type (Q2338901)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A maximum principle for fully coupled stochastic control systems of mean-field type |
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A maximum principle for fully coupled stochastic control systems of mean-field type (English)
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27 March 2015
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optimal control problem
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forward-backward stochastic differential equations
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maximum principle
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adjoint equation
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Ekeland's variational principle
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linear-quadratic stochastic control problem
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