Randomized dynamic programming principle and feynman-kac representation for optimal control of McKean-Vlasov dynamics

Transactions of the American Mathematical Society

Volumn 370, Issue 3, 2018, Pages 2115-2160

  Bayraktar, Erhan ^a   Cosso, Andrea ^b,c   Pham, Huyên ^d,e  

^a UNIVERSITY OF MICHIGAN   (United States)

^b POLITECNICO DI MILANO   (Italy)

^c UNIVERSITY OF BOLOGNA   (Italy)

^d CNRS   (France)

^e CREST   (France)

Author keywords

Controlled McKean Vlasov stochastic differential equations; Dynamic programming principle; Forward backward stochastic differential equations; Randomization method

Indexed keywords

EID: 85039799809     PISSN: 00029947     EISSN: None     Source Type: Journal    
DOI: 10.1090/tran/7118     Document Type: Article

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