Dynamic Programming Equation for the Mean Field Optimal Stopping Problem

DOI10.1137/21M1404259zbMath1515.60113arXiv2103.05736MaRDI QIDQ6173820

Jianfeng Zhang, Unnamed Author, Nizar Touzi

Publication date: 13 July 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.05736

zbMATH Keywords

dynamic programmingMcKean-Vlasov SDEsmean field optimal stopping

Mathematics Subject Classification ID

Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Mean field games and control (49N80) PDEs in connection with mean field game theory (35Q89)

Related Items (3)

Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ Time-inconsistent mean-field optimal stopping: a limit approach ⋮ Importance sampling for the empirical measure of weakly interacting diffusions

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