A second-order necessary condition for risk-sensitive mean-field type control

DOI10.3969/J.ISSN.1001-4268.2024.03.006MaRDI QIDQ6615095zbMATH OpenFDO

Authors Tao Hao

Publication date 8 October 2024

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2024.03.006

zbMATH Keywords

risk-sensitivesecond-order adjoint equationsecond-order stochastic maximum principlesingular optimal controlsplit first-order adjoint equation

Mathematics Subject Classification ID

Control problems involving ordinary differential equations (34H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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