A stochastic maximum principle for a stochastic differential game of a mean-field type

Applied Mathematics and Optimization

Volumn 66, Issue 3, 2012, Pages 415-454

  Hosking, John Joseph Absalom ^a,b  

^a INRIA   (France)

^b UNIVERSITY OF OSLO   (Norway)

Author keywords

Mean field type backward stochastic equations; Mean field type stochastic equations; Nash equilibria; Stochastic differential games; Stochastic maximum principle

Indexed keywords

ADJOINT REPRESENTATION; ADJOINTS; BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; FIRST-ORDER; INFORMATION STRUCTURES; MEAN-FIELD; NASH EQUILIBRIA; OPTIMAL STOCHASTIC CONTROL; SECOND ORDERS; STOCHASTIC DIFFERENTIAL GAME; STOCHASTIC EQUATIONS;

DIFFERENTIAL EQUATIONS; GAME THEORY; MAXIMUM PRINCIPLE; STOCHASTIC CONTROL SYSTEMS;

STOCHASTIC SYSTEMS;

EID: 84872680818     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-012-9177-x     Document Type: Article

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