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Maximum principle for discrete-time stochastic control problem of mean-field type · Study

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ArticleMaximum principle for discrete-time stochastic control problem of mean-field type

Tianyang Nie2022

Article2022

Maximum principle for discrete-time stochastic control problem of mean-field type

30 citations·0/0 files stored·Automatica

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Stochastic processes and financial applications Risk and Portfolio Optimization Adaptive Dynamic Programming Control

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References

2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 1990A General Stochastic Maximum Principle for Optimal Control Problems 2018Probabilistic Theory of Mean Field Games with Applications I 2004Stochastic finance. an introduction in discrete time 2009Mean-field backward stochastic differential equations and related partial differential equations 2010A Maximum Principle for SDEs of Mean-Field Type 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type

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Year2022

Typearticle

Published2022-07-22

VenueAutomatica

ISSN-L0005-1098

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.automatica.2022.110497

openalex_workW4286610448

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