Forward-backward stochastic differential equations and controlled Mckean-Vlasov dynamics

Annals of Probability

Volumn 43, Issue 5, 2015, Pages 2647-2700

  Carmona, René ^a   Delarue, François ^b  

^a PRINCETON UNIVERSITY   (United States)

^b UNIVERSITÉ DE NICE SOPHIA ANTIPOLIS   (France)

Author keywords

Mckean Vlasov diffusion; Mean field forward backward stochastic differential equation; Mean field interaction; Stochastic control; Stochastic Pontryagin principle

Indexed keywords

EID: 84947717362     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/14-AOP946     Document Type: Article

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