On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application (Q827656)
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scientific article; zbMATH DE number 7293774
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| English | On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application |
scientific article; zbMATH DE number 7293774 |
Statements
On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application (English)
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13 January 2021
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fully coupled forward-backward stochastic differential equation of mean-field type
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risk-sensitive
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stochastic maximum principle
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optimal control
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variational principle
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logarithmic transformation
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mean-variance
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0.8566029071807861
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0.8494924902915955
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0.8431399464607239
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0.8393515944480896
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