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Control problem on space of random variables and master equation - MaRDI portal

Control problem on space of random variables and master equation (Q5107913)

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scientific article; zbMATH DE number 7194549
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English
Control problem on space of random variables and master equation
scientific article; zbMATH DE number 7194549

    Statements

    title
    Control problem on space of random variables and master equation (English)
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    author
    Sheung Chi Phillip Yam
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    Alain Bensoussan
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    publication date
    29 April 2020
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    zbMATH Keywords
    mean field theory
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    master equations
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    Wasserstein space
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    random forward-backward differential equations
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    linear quadratic setting
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    Identifiers

    DOI
    10.1051/cocv/2018034
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    Mathematics Subject Classification ID
    35R60
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    49L25
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    49N70
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    93E20
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    60H30
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    60H10
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    60H15
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    60F99
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    35Q89
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    zbMATH DE Number
    7194549
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    OpenAlex ID
    W2963359377
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    arXiv ID
    1508.00713
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