A stochastic maximum principle for general mean-field systems
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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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Cites work
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- A General Stochastic Maximum Principle for Optimal Control Problems
- A general stochastic maximum principle for SDEs of mean-field type
- A mean-field stochastic control problem with partial observations
- Adapted solution of a backward stochastic differential equation
- Control of McKean-Vlasov dynamics versus mean field games
- Existence of optimal controls for systems governed by mean-field stochastic differential equations
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Long time average of first order mean field games and weak KAM theory
- Mean field games
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations: A limit approach
- Mean-field stochastic differential equations and associated PDEs
- Probabilistic analysis of mean-field games
- The master equation in mean field theory
Cited in
(48)- A maximum principle for SDEs of mean-field type
- On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
- Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
- Maximum principle for delayed stochastic mean-field control problem with state constraint
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Stochastic maximum principle for systems driven by local martingales with spatial parameters
- Maximum principle for stochastic recursive optimal control problem under model uncertainty
- Stochastic maximum principle for weighted mean-field system
- On mean-field control problems for backward doubly stochastic systems
- Dynamic optimization problems for mean-field stochastic large-population systems
- Maximum principle for mean-field SDEs under model uncertainty
- Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations
- Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
- 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 maximum principle for forward-backward stochastic control systems of mean-field type
- Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
- scientific article; zbMATH DE number 1810498 (Why is no real title available?)
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
- Mean-field anticipated BSDEs driven by time-changed Lévy noises
- A Global Optimality Principle for Fully Coupled Mean-field Control Systems
- 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
- Maximum principle for partially observed risk-sensitive optimal control problem of McKean-Vlasov FBSDEs involving impulse controls
- scientific article; zbMATH DE number 953309 (Why is no real title available?)
- Stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with Teugels martingales
- Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems
- A general stochastic maximum principle for SDEs of mean-field type
- Behavior near walls in the mean-field approach to crowd dynamics
- Partial derivative with respect to the measure and its application to general controlled mean-field systems
- Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion
- Singular optimal control problems with recursive utilities of mean-field type
- A mean-field stochastic maximum principle via Malliavin calculus
- A stochastic maximum principle for partially observed general mean-field control problems with only weak solution
- Maximum principle for discrete-time stochastic control problem of mean-field type
- On optimal control of mean-field stochastic systems driven by Teugels martingales via derivative with respect to measures
- A maximum principle for mean-field stochastic control system with noisy observation
- Extended mean field control problems: stochastic maximum principle and transport perspective
- Mean-field type games between two players driven by backward stochastic differential equations
- A second-order stochastic maximum principle for generalized mean-field singular control problem
- Extended mean-field control problem with partial observation
- Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
- Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information
- A new approach for time-variant probability density function of the maximal value of stochastic dynamical systems
- A stochastic maximum principle for partially observed optimal control problem of McKean-Vlasov FBSDEs with random jumps
- scientific article; zbMATH DE number 2127745 (Why is no real title available?)
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