Mean-field stochastic control problems under sublinear expectation
From MaRDI portal
\(G\)-Brownian motion\(G\)-expectationmean-field stochastic differential equationPontryagin's stochastic maximum principlestochastic controltime inconsistent control
Optimality conditions for problems involving randomness (49K45) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20)
Cites work
- G-expectation, G-Brownian motion and related stochastic calculus of Itô type
- A General Stochastic Maximum Principle for Optimal Control Problems
- A general stochastic maximum principle for SDEs of mean-field type
- A mean-field stochastic control problem with partial observations
- A stochastic maximum principle for general mean-field systems
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Existence of an optimal control for stochastic control systems with nonlinear cost functional
- Extended mean field control problems: stochastic maximum principle and transport perspective
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- scientific article; zbMATH DE number 3244500 (Why is no real title available?)
- Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
- Maximum principle for stochastic recursive optimal control problem under model uncertainty
- Mean field games
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
- Real Analysis and Probability
- Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
- Stochastic maximum principle in the mean-field controls
- The Master Equation and the Convergence Problem in Mean Field Games
Cited in
(2)
This page was built for publication: Mean-field stochastic control problems under sublinear expectation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6994584)
