Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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DOI10.1214/14-AOP946zbMath1322.93103arXiv1303.5835OpenAlexW1820663283MaRDI QIDQ888538

François Delarue, René A. Carmona

Publication date: 30 October 2015

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.5835

zbMATH Keywords

stochastic control McKean-Vlasov diffusion mean-field forward-backward stochastic differential equation mean-field interaction stochastic Pontryagin principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear systems in control theory (93C10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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