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A second-order necessary condition for risk-sensitive mean-field type control - MaRDI portal

A second-order necessary condition for risk-sensitive mean-field type control

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Publication:6615095

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DOI10.3969/j.issn.1001-4268.2024.03.006MaRDI QIDQ6615095

Publication date: 8 October 2024

Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

singular optimal control risk-sensitive second-order adjoint equation second-order stochastic maximum principle split first-order adjoint equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control problems involving ordinary differential equations (34H05)

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