Risk-Sensitive Mean-Field Type Control Under Partial Observation

DOI10.1007/978-3-319-23425-0_9MaRDI QIDQ2801796zbMATH OpenOpenAlexWikidataFDO

Authors Boualem Djehiche, Hamidou Tembine

Publication date 22 April 2016

Published in Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1411.7231

zbMATH Keywords

maximum principlemean-field SDEpartial observationrisk-sensitive controltime inconsistent control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Abstract: We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.

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Cited in

(19)

• Partially observed discrete-time risk-sensitive mean field games
• On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
• Small Parameter Limit for Discrete-Time Partially Observed Risk-Sensitive Control Problems
• Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations
• Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
• Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions
• Mean field control and mean field game models with several populations
• Berge equilibrium in linear-quadratic mean-field-type games
• Stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with Teugels martingales
• Linear-quadratic mean-field-type games: a direct method
• A maximum principle for mean-field stochastic control system with noisy observation
• Risk-sensitive mean-field-type games with \(L^p\)-norm drifts
• Mean-field controls with Q-learning for cooperative MARL: convergence and complexity analysis
• Approximate Markov-Nash equilibria for discrete-time risk-sensitive mean-field games
• Some results on risk-sensitive control with full observation
• Mean-field-type games
• Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
• Partially observed risk-sensitive stochastic control problems with non-convexity restriction
• A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps

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