Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension-Reference-Cited by-同舟云学术

Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension

Published:2023-08-01 Issue:4 Volume:33 Page:
ISSN:1050-5164
Container-title:The Annals of Applied Probability
language:
Short-container-title:Ann. Appl. Probab.

Author:

Cosso Andrea¹,Gozzi Fausto²,Kharroubi Idris³,Pham Huyên³,Rosestolato Mauro⁴

Affiliation:

1. Department of Mathematics, University of Milan

2. Department of Economics and Finance, Luiss University

3. LPSM, UMR CNRS 8001, Sorbonne University and Université Paris Cité

4. Department of Mathematics and Physics “Ennio De Giorgi”, University of Salento

Publisher

Institute of Mathematical Statistics

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference73 articles.

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2. ACCIAIO, B., BACKHOFF-VERAGUAS, J. and CARMONA, R. (2019). Extended mean field control problems: Stochastic maximum principle and transport perspective. SIAM J. Control Optim. 57 3666–3693.

3. BENSOUSSAN, A., FREHSE, J. and YAM, P. (2013). Mean Field Games and Mean Field Type Control Theory. SpringerBriefs in Mathematics. Springer, New York.

4. BURZONI, M., IGNAZIO, V., REPPEN, A. M. and SONER, H. M. (2020). Viscosity solutions for controlled McKean–Vlasov jump-diffusions. SIAM J. Control Optim. 58 1676–1699.

5. CARMONA, R. and DELARUE, F. (2014). The master equation for large population equilibriums. In Stochastic Analysis and Applications 2014. Springer Proc. Math. Stat. 100 77–128. Springer, Cham.

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