A maximum principle for mean-field SDEs with time change

DOI10.1007/s00245-017-9426-0zbMath1374.60094arXiv1608.05993OpenAlexW2964053902MaRDI QIDQ1678481

Hannes Haferkorn, Giulia Di Nunno

Publication date: 17 November 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.05993

zbMATH Keywords

time changemartingale random fieldsmean-field SDEmean-field BSDEsmean-field stochastic optimal control

Mathematics Subject Classification ID

Random fields (60G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process

Cites Work

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