Stochastic maximum principle in the mean-field controls

DOI10.1016/j.automatica.2011.11.006zbMath1260.93176OpenAlexW2022384100MaRDI QIDQ1941259

Juan Li

Publication date: 12 March 2013

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.11.006

zbMATH Keywords

backward stochastic differential equationsstochastic maximum principlemean-field modelslinear quadratic controls

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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