Mean field approach to stochastic control with partial information

DOI10.1051/cocv/2021085zbMath1476.93156arXiv1909.10287OpenAlexW3194270129MaRDI QIDQ3383300

Sheung Chi Phillip Yam, Alain Bensoussan

Publication date: 23 September 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.10287

zbMATH Keywords

Riccati equationsBellman and Master equationsDuncan-Mortensen-Zakai equationsfiltering formulae with non-Gaussian initial conditionslinear dynamics and quadratic payoffmean field type control problemsettings with Gaussian or non-Gaussian initial distributions

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Problems with incomplete information (optimization) (49N30) Mean field games and control (49N80)

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