Concepedia

A Maximum Principle for SDEs of Mean-Field Type

Daniel Andersson, Boualem Djehiche

Applied Mathematics & Optimization · 2010 · 335 citations · 9 references

DOI

Concepts

References

9

Mean field games

Jean‐Michel Lasry, Pierre-Louis Lions · Japanese journal of mathematics · 2007 · 2.6K citations

Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

Peter E. Caines, Minyi Huang, Roland P. Malhamé · Communications in Information and Systems · 2006 · 1.6K citations · Full text

, , +17

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization · 2000 · 1.1K citations

, , +14

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Tomas Björk, Agatha Murgoci · SSRN Electronic Journal · 2010 · 354 citations · Full text

, , +16

Mean-field backward stochastic differential equations and related partial differential equations

Rainer Buckdahn, Juan Li, Shigē Péng · Stochastic Processes and their Applications · 2009 · 334 citations

, , +13