A Variational Formula of Forward-Backward Stochastic Differential System of Mean-Field Type with Observation Noise and Some Application
Author:
Funder
Natural Science Foundation of Zhejiang Province
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s42967-024-00431-9.pdf
Reference46 articles.
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3. Delavarkhalafi, A., Fatemion Aghda, A.S., Tahmasebi, M.: Maximum principle for infinite horizon optimal control of mean-field backward stochastic systems with delay and noisy memory. Int. J. Control 95(2), 535–543 (2022)
4. Du, K., Huang, J., Wu, Z.: Linear quadratic mean-field-game of backward stochastic differential systems. Math. Control Relat. Fields 8(3/4), 653 (2018)
5. Duffie, D., Epstein, L.G.: Asset pricing with stochastic differential utility. Rev. Fin. Stud. 5(3), 411–436 (1992)
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