A general stochastic maximum principle for SDEs of mean-field type

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DOI10.1007/s00245-011-9136-yzbMath1245.49036OpenAlexW1969717343MaRDI QIDQ649117

Boualem Djehiche, Rainer Buckdahn, Juan Li

Publication date: 30 November 2011

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

Full work available at URL: https://doi.org/10.1007/s00245-011-9136-y

zbMATH Keywords

maximum principle stochastic control McKean-Vlasov equation mean-field SDE time inconsistent control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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