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A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems - MaRDI portal

A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems (Q2420787)

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A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems
scientific article

    Statements

    title
    A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems (English)
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    author
    Matteo Basei
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    Huyên Pham
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    publication date
    7 June 2019
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    zbMATH Keywords
    mean-field sdes
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    linear-quadratic optimal control
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    weak martingale optimality principle
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    Riccati equation
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    Identifiers

    Mathematics Subject Classification ID
    49N10
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    49L20
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    93E20
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    zbMATH DE Number
    7063777
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    OpenAlex ID
    W2898256821
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    arXiv ID
    1810.10532
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    Wikidata QID
    Q128761684
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