Dynamic programming for optimal control of stochastic mckean-vlasov dynamics

SIAM Journal on Control and Optimization

Volumn 55, Issue 2, 2017, Pages 1069-1101

  Pham, Huyen ^a   Wei, Xiaoli ^b  

^a CREST   (France)

^b CNRS   (France)

Author keywords

Bellman equation; Dynamic programming principle; Stochastic McKean Vlasov SDEs; Viscosity solutions; Wasserstein space

Indexed keywords

RISK ASSESSMENT; STOCHASTIC MODELS; STOCHASTIC SYSTEMS; VISCOSITY; VLASOV EQUATION;

BELLMAN EQUATIONS; DYNAMIC PROGRAMMING PRINCIPLE; STOCHASTIC MCKEAN-VLASOV SDES; VISCOSITY SOLUTIONS; WASSERSTEIN SPACES;

DYNAMIC PROGRAMMING;

EID: 85019004246     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/16M1071390     Document Type: Article

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