Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications

Probability, Uncertainty and Quantitative Risk

Volumn 1, Issue 1, 2016, Pages

  Pham, Huyên ^a,b  

^a CNRS   (France)

^b CREST   (France)

Author keywords

Backward stochastic differential equation; Dynamic programming; Linear quadratic optimal control; Random coefficients; Riccati equation; Stochastic McKean Vlasov SDEs

Indexed keywords

EID: 85065510872     PISSN: None     EISSN: 23670126     Source Type: Journal    
DOI: 10.1186/s41546-016-0008-x     Document Type: Article

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