Stochastic maximum principle for a time-changed mean field game

DOI10.3934/mcrf.2022061OpenAlexW4319989070MaRDI QIDQ6127348

Sixian Jin, Qingshuo Song

Publication date: 12 April 2024

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2022061

zbMATH Keywords

forward-backward stochastic differential equationduality principlelinear-quadratic modelmean field gametime-changed Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Mean field games and control (49N80) Mean field games (aspects of game theory) (91A16)

This page was built for publication: Stochastic maximum principle for a time-changed mean field game