A Maximum Principle for Mean-Field SDEs with Time Change
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
http://link.springer.com/article/10.1007/s00245-017-9426-0/fulltext.html
Reference20 articles.
1. Andersson, D., Djehiche, B.: A maximum principle for SDEs of mean-field type. Appl. Math. Optim. 63, 311–356 (2011)
2. Applebaum, D.: Lévy Processes and Stochastic Calculus. Cambridge University Press, Cambridge (2009)
3. Bensoussan, A., Frehse, J., Yam, P.: Mean Field Games and Mean Field Type Control Theory. Springer, Berlin (2013)
4. Buckdahn, R., Li, J., Peng, S.: Mean-field backward stochastic differential equations and related partial differential equations. Stoch. Process. Appl. 119, 3133–3154 (2009)
5. Cairoli, R., Walsh, J.: Stochastic integrals in the plane. Acta Math. 134, 111–183 (1975)
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1. Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equation with Lévy Process;Communications on Applied Mathematics and Computation;2022-04-19
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