A stochastic maximum principle for general mean-field systems
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Publication:520349
DOI10.1007/s00245-016-9394-9zbMath1359.93528MaRDI QIDQ520349
Jin Ma, Juan Li, Rainer Buckdahn
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
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G80: Financial applications of other theories
35R60: PDEs with randomness, stochastic partial differential equations
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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