Discrete time McKean-Vlasov control problem: a dynamic programming approach

DOI10.1007/s00245-016-9386-9zbMath1360.49018arXiv1511.09273OpenAlexW2963617451MaRDI QIDQ520347

Xiaoli Wei, Huyên Pham

Publication date: 3 April 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.09273

zbMATH Keywords

dynamic programmingcalculus of variationsMcKean-Vlasov equationstochastic optimal control problemmean-variance portfolio selection

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20)

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