A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
From MaRDI portal
Publication:2982544
DOI10.1109/TAC.2015.2406973zbMath1360.93772arXiv1404.1441OpenAlexW4230510522WikidataQ69037755 ScholiaQ69037755MaRDI QIDQ2982544
Boualem Djehiche, Hamidou Tembine, Raúl Tempone
Publication date: 16 May 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.1441
Related Items (32)
Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems ⋮ On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application ⋮ Linear-quadratic mean-field-type games: a direct method ⋮ Mean-field-type games with jump and regime switching ⋮ Risk-awareness in multi-level building evacuation with smoke: Burj Khalifa case study ⋮ Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance ⋮ An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation ⋮ Pontryagin's risk-sensitive stochastic maximum principle for backward stochastic differential equations with application ⋮ Maximum principle for mean-field SDEs under model uncertainty ⋮ Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes ⋮ Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations ⋮ Partially observed risk-sensitive stochastic control problems with non-convexity restriction ⋮ Risk-sensitive mean-field-type games with \(L^p\)-norm drifts ⋮ Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems ⋮ Stochastic maximum principle for weighted mean-field system ⋮ \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications ⋮ Risk‐sensitive stochastic maximum principle for forward‐backward systems involving impulse controls ⋮ Linear-quadratic mean field stochastic zero-sum differential games ⋮ The risk-sensitive maximum principle for controlled forward-backward stochastic differential equations ⋮ Berge equilibrium in linear-quadratic mean-field-type games ⋮ Mean-field type games between two players driven by backward stochastic differential equations ⋮ An optimal control of a risk-sensitive problem for backward doubly stochastic differential equations with applications ⋮ Maximum principle for partially observed risk-sensitive optimal control problems of mean-field type ⋮ On the singular risk-sensitive stochastic maximum principle ⋮ The maximum principle for partially observed optimal control problems of mean-field FBSDEs ⋮ Discrete-time linear-quadratic mean-field-type repeated games: perfect, incomplete, and imperfect information ⋮ Mean-field linear-quadratic stochastic differential games in an infinite horizon ⋮ General fully coupled FBSDES involving the value function and related nonlocal HJB equations combined with algebraic equations ⋮ Mean Field Control and Mean Field Game Models with Several Populations ⋮ Mean-field-type games ⋮ Equilibrium reinsurance strategies for n insurers under a unified competition and cooperation framework ⋮ Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis
This page was built for publication: A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
