A randomisation method for mean-field control problems with common noise
backward stochastic differential equationcommon noisecontrol randomisationmean-field controlPoisson processrandomised dynamic programming principle
Dynamic programming in optimal control and differential games (49L20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Dynamic programming (90C39) Optimal stochastic control (93E20)
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