The Master equation in mean field theory

Journal des Mathematiques Pures et Appliquees

Volumn 103, Issue 6, 2015, Pages 1441-1474

  Bensoussan, Alain ^a   Frehse, Jens ^b   Yam, Sheung Chi Phillip ^c  

^a UNIVERSITY OF TEXAS AT DALLAS   (United States)

^b UNIVERSITY OF BONN   (Germany)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Linear quadratic problems; Master equation; Mean field games; Mean field type control problems; Stochastic HJB equations; Stochastic maximum principle

Indexed keywords

EID: 84929045034     PISSN: 00217824     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matpur.2014.11.005     Document Type: Article

References (9)

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