Dynamic optimization of large-population systems with partial information

DOI10.1007/s10957-015-0740-xzbMath1332.65085OpenAlexW809770233MaRDI QIDQ255089

Jianhui Huang, Shujun Wang

Publication date: 9 March 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-015-0740-x

zbMATH Keywords

dynamic optimizationpartial informationforward-backward stochastic differential equationlarge-population systemmean-field game

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Control/observation systems with incomplete information (93C41) Optimal stochastic control (93E20) Dynamic games (91A25)

Related Items

Linear-quadratic-Gaussian mean-field-game with partial observation and common noise, Dynamic optimization problems for mean-field stochastic large-population systems, An asymmetric information non-zero sum differential game of mean-field backward stochastic differential equation with applications, Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach, A linear-quadratic mean-field game of backward stochastic differential equation with partial information and common noise

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