A mean-field stochastic maximum principle via Malliavin calculus

DOI10.1080/17442508.2011.651619zbMath1252.49039arXiv0911.3720MaRDI QIDQ3145081

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Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3720

zbMATH Keywords

maximum principle; stochastic control; Malliavin calculus; partial information; jump diffusion; mean-field type

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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