A stochastic maximum principle for general mean-field systems
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Publication:520349
DOI10.1007/S00245-016-9394-9zbMATH Open1359.93528OpenAlexW2552466764MaRDI QIDQ520349FDOQ520349
Authors: Jin Ma, Rainer Buckdahn, Juan Li 
Publication date: 3 April 2017
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-016-9394-9
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PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited In (47)
- Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
- Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control
- Optimal control of mean field equations with monotone coefficients and applications in neuroscience
- A general stochastic maximum principle for SDEs of mean-field type
- A maximum principle for SDEs of mean-field type
- Maximum principle for mean-field SDEs under model uncertainty
- Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems
- Singular optimal control problems with recursive utilities of mean-field type
- On mean-field control problems for backward doubly stochastic systems
- Behavior near walls in the mean-field approach to crowd dynamics
- On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
- Data-driven stability of stochastic mean-field type games via noncooperative neural network adversarial training
- Optimal control and stabilization for linear mean-field system with indefinite quadratic cost functional
- On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
- On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
- Extended mean field control problems: stochastic maximum principle and transport perspective
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- Partial derivative with respect to the measure and its application to general controlled mean-field systems
- Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
- A new approach for time-variant probability density function of the maximal value of stochastic dynamical systems
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- Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
- Stochastic maximum principle for weighted mean-field system
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Maximum principle for stochastic recursive optimal control problem under model uncertainty
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- Title not available (Why is that?)
- 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
- Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
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- Stochastic maximum principle for systems driven by local martingales with spatial parameters
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- Extended mean-field control problem with partial observation
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- Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
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- A general maximum principle for forward-backward stochastic control systems of mean-field type
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- A second-order stochastic maximum principle for generalized mean-field singular control problem
- Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
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