Risk‐sensitive maximum principle for stochastic optimal control of mean‐field type Markov regime‐switching jump‐diffusion systems
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Publication:6089862
DOI10.1002/rnc.5358zbMath1526.93280OpenAlexW3127896510MaRDI QIDQ6089862
Publication date: 13 November 2023
Published in: International Journal of Robust and Nonlinear Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/rnc.5358
variational inequalitybackward stochastic differential equationsrisk-sensitive optimal controlmean-field type Markov regime-switching jump-diffusion systems
Transformations (93B17) Optimal stochastic control (93E20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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