Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach

Applied Mathematics and Optimization

Volumn 74, Issue 3, 2016, Pages 487-506

  Pham, Huyên ^a,b   Wei, Xiaoli ^a  

^a CNRS   (France)

^b CREST   (France)

Author keywords

Calculus of variations; Dynamic programming; McKean Vlasov equation

Indexed keywords

CALCULATIONS; DISCRETE TIME CONTROL SYSTEMS; OPTIMAL CONTROL SYSTEMS; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS; VLASOV EQUATION;

CALCULUS OF VARIATIONS; CONTROL PROBLEMS; DYNAMIC PROGRAMMING PRINCIPLE; LINEAR QUADRATIC; MARGINAL DISTRIBUTION; MEAN-VARIANCE PORTFOLIOS; STATE VARIABLES; STOCHASTIC OPTIMAL CONTROL PROBLEM;

DYNAMIC PROGRAMMING;

EID: 84994104475     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-016-9386-9     Document Type: Article

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