Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
DOI10.1090/tran/7118zbMath1381.93102arXiv1606.08204OpenAlexW2464868715MaRDI QIDQ4600443
Erhan Bayraktar, Huyên Pham, Andrea Cosso
Publication date: 9 January 2018
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.08204
forward-backward stochastic differential equationsdynamic programming principlecontrolled McKean-Vlasov stochastic differential equationsrandomization method
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)
Related Items (37)
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