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A Maximum Principle for SDEs of Mean-Field Type · Study

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ArticleA Maximum Principle for SDEs of Mean-Field Type

Daniel Andersson2010

Article2010

A Maximum Principle for SDEs of Mean-Field Type

Daniel Andersson · Boualem Djehiche

330 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 330 citations exist upstream.

References

2007Mean field games 1999Stochastic controls : Hamiltonian systems and HJB equations 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle 1999Stochastic Controls 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2010Dynamic Mean-Variance Asset Allocation 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems 2009Mean-field backward stochastic differential equations and related partial differential equations

Cited by

2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type 2015Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics 2012Control of McKean–Vlasov dynamics versus mean field games 2015Linear-Quadratic Mean Field Games 2013Discrete time mean-field stochastic linear-quadratic optimal control problems 2013$\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents 2015A probabilistic weak formulation of mean field games and applications

Details

Year2010

Typearticle

Published2010-10-30

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations330

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s00245-010-9123-8

openalex_workW2037152246

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