On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
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Publication:827656
DOI10.3934/eect.2020035zbMath1455.91216OpenAlexW3013762108MaRDI QIDQ827656
Publication date: 13 January 2021
Published in: Evolution Equations and Control Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/eect.2020035
optimal controlvariational principlestochastic maximum principlemean-variancelogarithmic transformationrisk-sensitivefully coupled forward-backward stochastic differential equation of mean-field type
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
Related Items
Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems, Stochastic maximum principle for partially observed risk‐sensitive optimal control problems of mean‐field forward‐backward stochastic differential equations
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