SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Maximum principle for discrete-time stochastic control problem of mean-field type
16 references·0 citing·27 second hop
Maximum principle for discrete-time stochastic control problem of mean-field type (2022)Maximum principle for discrete-time stoch…Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean …Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Forward–backward stochastic d…General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions (2014)General Pontryagin-Type Stoch…Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)Discrete time mean-field stoc…Control of McKean–Vlasov dynamics versus mean field games (2012)Control of McKean–Vlasov dyna…A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance (2012)A Stochastic Maximum Principl…Stochastic maximum principle in the mean-field controls (2011)Stochastic maximum principle …A General Stochastic Maximum Principle for SDEs of Mean-field Type (2011)A General Stochastic Maximum …A Maximum Principle for SDEs of Mean-Field Type (2010)A Maximum Principle for SDEs …A general theory of finite state Backward Stochastic Difference Equations (2010)A general theory of finite st…Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochasti…Mathematics of Financial Markets (2005)Mathematics of Financial Mark…Stochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)Necessary Conditions for Cont…Adapted solution of a backward stochastic differential equation (1990)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean field games (2007)A probabilistic weak formulation of mean field games and applications (2015)The Master Equation and the Convergence Problem in Mean Field Games (2019)Continuous Martingales and Brownian Motion (1999)Stochastic Differential Equations and Diffusion Processes (1983)Brownian Motion and Stochastic Calculus (2007)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Portfolio Selection: Efficient Diversification of Investments (1959)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Stochastic controls : Hamiltonian systems and HJB equations (1999)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)A Generalized dynamic programming principle and hamilton-jacobi-bellman equation (1992)Stochastic Hamilton–Jacobi–Bellman Equations (1992)Mean field games with common noise (2016)Mean field game of controls and an application to trade crowding (2017)A Machine Learning Framework for Solving High-Dimensional Mean Field Game and Mean Field Control Problems (2019)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)Modeling and optimization of risk (2010)Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Measures of Systemic Risk (2017)
this work references cited by second hop

References

  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 2018Probabilistic Theory of Mean Field Games with Applications I494 cited
  • 2004Stochastic finance. an introduction in discrete time351 cited
  • 2009Mean-field backward stochastic differential equations and related partial differential equations342 cited
  • 2010A Maximum Principle for SDEs of Mean-Field Type330 cited
  • 1972Necessary Conditions for Continuous Parameter Stochastic Optimization Problems322 cited
  • 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type281 cited
  • 2015Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics244 cited
  • 2012Control of McKean–Vlasov dynamics versus mean field games238 cited
  • 2013Discrete time mean-field stochastic linear-quadratic optimal control problems191 cited
  • 2011Stochastic maximum principle in the mean-field controls149 cited
  • 2005Mathematics of Financial Markets120 cited
  • 2012A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance100 cited
  • 2010

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

A general theory of finite state Backward Stochastic Difference Equations
88 cited
  • 2014General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions83 cited
  • Cited by

    No citing works inside the corpus for this window.