A stochastic maximum principle for partially observed general mean-field control problems with only weak solution-Reference-Cited by-同舟云学术

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A stochastic maximum principle for partially observed general mean-field control problems with only weak solution

Published:2023-11 Issue: Volume:165 Page:397-439
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Li Juan,Liang Hao,Mi Chao^ORCID

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference22 articles.

1. Lectures on Stochastic Control;Bensoussan,1981

2. An introductory approach to duality in optimal stochastic control;Bismut;SIAM Rev.,1978

3. Partial derivative with respect to the measure and its application to general controlled mean-field systems;Buckdahn;Stochastic Process. Appl.,2021

4. A general stochastic maximum principle for SDEs of mean-field type;Buckdahn;Appl. Math. Optim.,2011

5. Mean-field backward stochastic differential equations: A limit approach;Buckdahn;Ann. Probab.,2009

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