A class of finite-dimensional numerically solvable McKean-Vlasov control problems
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Publication:4967867
DOI10.1051/proc/201965114;zbMath1417.93333arXiv1803.00445MaRDI QIDQ4967867
Huyên Pham, Côme Huré, Isaque Pimentel, Alessandro Balata, Mathieu Laurière
Publication date: 11 July 2019
Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.00445
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Portfolio theory (91G10) Credit risk (91G40)
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