A general stochastic maximum principle for SDEs of mean-field type

Applied Mathematics and Optimization

Volumn 64, Issue 2, 2011, Pages 197-216

  Buckdahn, Rainer ^a   Djehiche, Boualem ^b   Li, Juan ^c  

^a UNIVERSITÉ DE BRETAGNE OCCIDENTALE   (France)

^b ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

^c SHANDONG UNIVERSITY   (China)

Author keywords

Maximum principle; McKean Vlasov equation; Mean field SDE; Stochastic control; Time inconsistent control

Indexed keywords

ACTION SPACES; ADJOINT EQUATIONS; CONTROL PROBLEMS; COST FUNCTIONALS; EXPECTED VALUES; FIRST ORDER; MCKEAN-VLASOV EQUATION; MEAN-FIELD; OPTIMAL CONTROLS; OPTIMALITY; OPTIMALITY PRINCIPLE; SECOND ORDERS; SOLUTION PROCESS; STOCHASTIC CONTROL; STOCHASTIC DIFFERENTIAL EQUATIONS;

DIFFERENTIAL EQUATIONS; MAXIMUM PRINCIPLE; OPTIMIZATION;

STOCHASTIC SYSTEMS;

EID: 80052971337     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-011-9136-y     Document Type: Article

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