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: | Meyer-Brandis, T, Øksendal, B, Zhou, X |
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Format: | Journal article |
Language: | English |
Published: |
2012
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