A maximum principle for mean-field stochastic control system with noisy observation
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Publication:2071981
DOI10.1016/j.automatica.2021.110135zbMath1482.93712OpenAlexW4206005758MaRDI QIDQ2071981
Publication date: 31 January 2022
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2021.110135
maximum principleoptimal filteringmean-field stochastic differential equationbackward separation methodoptimal premium strategy in a feedback form
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)
Related Items (4)
Stochastic maximum principle for weighted mean-field system ⋮ Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions ⋮ Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion ⋮ Mean-field type FBSDEs in a domination-monotonicity framework and LQ multi-level Stackelberg games
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