Mean-field FBSDE and optimal control

DOI10.1080/07362994.2020.1794893zbMath1472.60088arXiv1905.04793OpenAlexW3046055191MaRDI QIDQ4986423

Nacira Agram, Salah Eddine Choutri

Publication date: 27 April 2021

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.04793

zbMATH Keywords

stochastic maximum principlerisk minimizationmean-field forward-backward SDE

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic integrals (60H05) Stochastic integral equations (60H20) Jump processes on general state spaces (60J76)

Related Items (1)

Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process

Cites Work

• Well-posedness of mean-field type forward-backward stochastic differential equations
• Risk minimization in financial markets modeled by Itô-Lévy processes
• Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
• Mean field games
• Stochastic control of memory mean-field processes
• \(\epsilon\)-Nash mean-field games for general linear-quadratic systems with applications
• $\epsilon$-Nash Mean Field Game Theory for Nonlinear Stochastic Dynamical Systems with Major and Minor Agents
• Backward Mean-Field Linear-Quadratic-Gaussian (LQG) Games: Full and Partial Information
• Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle
• Singular Control Optimal Stopping of Memory Mean-Field Processes
• ϵ-Nash mean-field games for linear-quadratic systems with random jumps and applications
• Model uncertainty stochastic mean-field control

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