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

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

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

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93C10: Nonlinear systems in control theory

60K35: Interacting random processes; statistical mechanics type models; percolation theory

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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