Risk-sensitive mean field games via the stochastic maximum principle
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Publication:2292119
DOI10.1007/s13235-018-00290-zzbMath1431.91027OpenAlexW2904233225WikidataQ128757350 ScholiaQ128757350MaRDI QIDQ2292119
Publication date: 3 February 2020
Published in: Dynamic Games and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13235-018-00290-z
decentralized controlforward-backward stochastic differential equationsrisk-sensitive optimal controlmean field game theory
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Mean field games (aspects of game theory) (91A16) Risk models (general) (91B05)
Related Items (7)
A sufficient condition for optimal control problem of fully coupled forward‐backward stochastic systems with jumps: A state‐constrained control approach ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ Linear-quadratic mean field stochastic zero-sum differential games ⋮ Dynamic pricing of new products in competitive markets: a mean-field game approach ⋮ Robust designs through risk sensitivity: an overview ⋮ Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control ⋮ Risk-sensitive mean field games with major and minor players
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