A mean-field stochastic maximum principle via Malliavin calculus
This paper considers a mean-field type stochastic control problem where the dynamics is governed by a controlled Itô-Lévy process and the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are al...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2012
|