Model uncertainty stochastic mean-field control

DOI10.1080/07362994.2018.1499036zbMath1432.93377arXiv1611.01385OpenAlexW2963421302WikidataQ128555359 ScholiaQ128555359MaRDI QIDQ5742383

Nacira Agram, Bernt Øksendal

Publication date: 14 May 2019

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.01385

zbMATH Keywords

generalized maximum principlemean-field stochastic gamesstochastic oprtimal control

Mathematics Subject Classification ID

2-person games (91A05) Applications of game theory (91A80) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16)

Related Items (4)

Mean-field stochastic control with elephant memory in finite and infinite time horizon ⋮ Singular Control Optimal Stopping of Memory Mean-Field Processes ⋮ Mean-field FBSDE and optimal control ⋮ Stochastic optimal control of McKean-Vlasov equations with anticipating law

Cites Work

• Control of McKean-Vlasov dynamics versus mean field games
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Dynamic robust duality in utility maximization
• Applied stochastic control of jump diffusions.
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Mean field games
• Correction to: ``Stochastic control of memory mean-field processes
• Forward-backward stochastic differential games and stochastic control under model uncertainty
• Mean-field stochastic differential equations and associated PDEs
• Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
• Mean Field Games and Mean Field Type Control Theory
• Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

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