Stochastic optimal control of McKean-Vlasov equations with anticipating law

DOI10.1007/s13370-019-00689-wzbMath1438.60068arXiv1604.03582OpenAlexW2963358302MaRDI QIDQ2322297

Nacira Agram

Publication date: 4 September 2019

Published in: Afrika Matematika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03582

zbMATH Keywords

stochastic controlMcKean-Vlasov equationsanticipating lawdelayed backward stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by functional-differential equations (93C23) Optimal stochastic control (93E20)

Related Items (3)

The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients ⋮ Stochastic Fokker–Planck Equations for Conditional McKean–Vlasov Jump Diffusions and Applications to Optimal Control ⋮ Stochastic control of memory mean-field processes

Cites Work

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• Mean-field backward stochastic differential equations and applications
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• An Introductory Approach to Duality in Optimal Stochastic Control
• Singular mean-field control games
• Singular Control Optimal Stopping of Memory Mean-Field Processes
• Model uncertainty stochastic mean-field control

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