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ArticleA maximum principle for fully coupled stochastic control systems of mean-field type

Ruijing Li2014

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Articlebronze2014

A maximum principle for fully coupled stochastic control systems of mean-field type

Ruijing Li · Bin Liu

35 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

2007Mean field games 1999Stochastic controls : Hamiltonian systems and HJB equations 1990A General Stochastic Maximum Principle for Optimal Control Problems 1995Solution of forward-backward stochastic differential equations 1993Backward stochastic differential equations and applications to optimal control 2009Mean-field backward stochastic differential equations and related partial differential equations 2010A Maximum Principle for SDEs of Mean-Field Type 2009Mean-field backward stochastic differential equations: A limit approach

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2018Infinite horizon optimal control of mean-field forward–backward delayed systems with Poisson jumps 2016Linear‐Quadratic Optimal Control Problem for Partially Observed Forward‐Backward Stochastic Differential Equations of Mean‐Field Type

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Year2014

Typearticle

Published2014-02-15

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2014.02.008

openalex_workW2016157011

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