Concepedia

Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach

Huyên Pham, Xiaoli Wei

Applied Mathematics & Optimization · 2016 · 23 citations · 12 references

DOI

Concepts

References

12

Lecture Notes in Mathematics

Stéphane Crépey, Olivier Guéant, David Hobson et al. · HAL (Le Centre pour la Communication Scientifique Directe) · 2011 · 10.2K citations

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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