A tale of a principal and many, many agents

Mathematics of Operations Research

Volumn 44, Issue 2, 2019, Pages 440-467

  Elie, Romuald ^a   Mastrolia, Thibaut ^b   Possamai, Dylan ^c  

^a UNIVERSITÉ GUSTAVE EIFFEL   (France)

^b UNIVERSITÉ PARIS SACLAY   (France)

^c Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Infinite dimensional HJB equations; McKean Vlasov SDEs; Mean field FBSDEs; Mean field games; Moral hazard

Indexed keywords

RISK MANAGEMENT; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS; VLASOV EQUATION;

HJB EQUATIONS; MCKEAN-VLASOV SDES; MEAN FIELD; MEAN FIELD GAMES; MORAL HAZARD;

DYNAMIC PROGRAMMING;

EID: 85068572470     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.2018.0931     Document Type: Article

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