An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
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Publication:6072101
DOI10.1007/s00245-023-10069-3zbMath1530.91530MaRDI QIDQ6072101
Publication date: 29 November 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
time inconsistencyMcKean-Vlasov dynamicsdynamic programming/optimal controlambiguous covariance matrixBellman-Isaacs PDE systemextended dynamic programming
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10) Equilibrium refinements (91A11)
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