Mean-Field-Type Games with Jump and Regime Switching

Author:

Bensoussan Alain,Djehiche Boualem,Tembine HamidouORCID,Yam Sheung Chi Phillip

Funder

AFOSR

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Computational Mathematics,Computational Theory and Mathematics,Computer Graphics and Computer-Aided Design,Computer Science Applications,Statistics and Probability,Economics and Econometrics

Reference57 articles.

1. Agram N Bernt O (2017) Stochastic control of memory mean-field processes. arXiv:1701.01801

2. Agram N, Hu Y, Oksendal B (2018) Mean-field backward stochastic differential equations and applications. arXiv:1801.03349v2

3. Andersson D, Djehiche B (2011) A maximum principle for stochastic control of SDE’s of mean-field type. Appl Math Optim 63(3):341–356

4. Augustin F, Gilg A, Paffrath M, Rentrop P, Wever U (2008) Polynomial chaos for the approximation of uncertainties: chances and limits. Eur J Appl Math 19:149–190. https://doi.org/10.1017/S0956792508007328

5. Bayraktar E, Cosso A, Pham H (2016) Randomized dynamic programming principle and Feynman–Kac representation for optimal control of McKean–Vlasov dynamics. arXiv:1606.08204

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