A Maximum Principle for SDEs of Mean-Field Type

Author:

Andersson Daniel,Djehiche Boualem

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Reference15 articles.

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2. Basak, S., Chabakauri, G.: Dynamic mean-variance asset allocation. In: EFA 2007 Ljubljana Meetings; AFA 2009 San Francisco Meetings Paper. SSRN: http://ssrn.com/abstract=965926 (2009)

3. Springer Lecture Notes in Mathematics;A. Bensoussan,1982

4. Björk, T., Murgoci, A.: A general theory of Markovian time inconsistent stochastic control problems. Preprint (2008)

5. Buckdahn, R., Li, J., Peng, S.: Mean-field backward stochastic differential equations and related partial differential equations. Stoch. Process. Appl. 119(10), 3133–3154 (2007)

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