Risk-Sensitive Mean-Field Type Control Under Partial Observation

DOI10.1007/978-3-319-23425-0_9zbMATH Open1334.93180arXiv1411.7231OpenAlexW2963293760WikidataQ69037720 ScholiaQ69037720MaRDI QIDQ2801796FDOQ2801796

Authors: Boualem Djehiche, Hamidou Tembine 

Publication date: 22 April 2016

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

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

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)

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Cited In (19)

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

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