A stochastic maximum principle for risk-sensitive mean-field type control

IEEE Transactions on Automatic Control

Volumn 60, Issue 10, 2015, Pages 2640-2649

  Djehiche, Boualem ^a   Tembine, Hamidou ^b,c   Tempone, Raul ^d  

^a ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

^b POLYTECHNIC UNIVERSITY   (United States)

^c NEW YORK UNIVERSITY ABU DHABI   (United Arab Emirates)

^d KING ABDULLAH UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Saudi Arabia)

Author keywords

logarithmic transformation; maximum principle; mean field SDE; risk sensitive control; Time inconsistent stochastic control

Indexed keywords

COST FUNCTIONS; DIFFERENTIAL EQUATIONS; MAXIMUM PRINCIPLE; MEAN FIELD THEORY; OPTIMAL CONTROL SYSTEMS; RISK PERCEPTION; STOCHASTIC CONTROL SYSTEMS; TABU SEARCH;

LOGARITHMIC TRANSFORMATIONS; MEAN FIELD; OPTIMAL CONTROL PROBLEM; QUADRATIC COST FUNCTIONS; RISK SENSITIVE CONTROL; STOCHASTIC CONTROL; STOCHASTIC DIFFERENTIAL EQUATIONS; STOCHASTIC MAXIMUM PRINCIPLES;

STOCHASTIC SYSTEMS;

EID: 84937833348     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2015.2406973     Document Type: Conference Paper

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