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Discrete time McKean-Vlasov control problem: a dynamic programming approach - MaRDI portal

Discrete time McKean-Vlasov control problem: a dynamic programming approach (Q520347)

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Discrete time McKean-Vlasov control problem: a dynamic programming approach
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    title
    Discrete time McKean-Vlasov control problem: a dynamic programming approach (English)
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    author
    Huyên Pham
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    Xiaoli Wei
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    publication date
    3 April 2017
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    Mathematics Subject Classification ID
    49L20
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    60K35
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    93E20
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    90C39
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    zbMATH DE Number
    6699608
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    zbMATH Keywords
    McKean-Vlasov equation
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    stochastic optimal control problem
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    dynamic programming
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    calculus of variations
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    mean-variance portfolio selection
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    OpenAlex ID
    W2963617451
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    arXiv ID
    1511.09273
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