Optimal control and zero-sum stochastic differential game problems of mean-field type

DOI10.1007/s00245-018-9525-6zbMath1443.60061arXiv1603.06071OpenAlexW2963104113WikidataQ129193931 ScholiaQ129193931MaRDI QIDQ2187335

Boualem Djehiche, Said Hamadène

Publication date: 2 June 2020

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

Full work available at URL: https://arxiv.org/abs/1603.06071

zbMATH Keywords

optimal controlsaddle-pointzero-sum gamebackward SDEsmean-fieldnonlinear diffusion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of optimal control and differential games (49N90) Stochastic calculus of variations and the Malliavin calculus (60H07)

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