Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem
暂无分享,去创建一个
[1] Zhanghua Wu,et al. Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach , 2022, SIAM J. Control. Optim..
[2] Mao Fabrice Djete,et al. McKean–Vlasov optimal control: The dynamic programming principle , 2019, The Annals of Probability.
[3] Qingxin Meng,et al. A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps , 2018, ESAIM: Control, Optimisation and Calculus of Variations.
[4] Beatrice Acciaio,et al. Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective , 2018, SIAM J. Control. Optim..
[5] Tzu-Wei Yang,et al. Forward–backward stochastic differential equations with monotone functionals and mean field games with common noise , 2016, Stochastic Processes and their Applications.
[6] Ying Hu,et al. Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints , 2017, SIAM J. Control. Optim..
[7] Huyên Pham,et al. Dynamic Programming for Optimal Control of Stochastic McKean-Vlasov Dynamics , 2016, SIAM J. Control. Optim..
[8] Jin Ma,et al. A Stochastic Maximum Principle for General Mean-Field Systems , 2016 .
[9] H. Pham,et al. Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics , 2016, 1606.08204.
[10] Olivier Pironneau,et al. Dynamic Programming for Mean-Field Type Control , 2014, Journal of Optimization Theory and Applications.
[11] H. Pham,et al. Bellman equation and viscosity solutions for mean-field stochastic control problem , 2015, 1512.07866.
[12] Alain Bensoussan,et al. Well-posedness of mean-field type forward–backward stochastic differential equations , 2015 .
[13] Suresh P. Sethi,et al. The Maximum Principle for Global Solutions of Stochastic Stackelberg Differential Games , 2012, SIAM J. Control. Optim..
[14] R. Carmona,et al. Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics , 2013, 1303.5835.
[15] Rene Carmona,et al. Mean field forward-backward stochastic differential equations , 2012, 1211.4186.
[16] R. Carmona,et al. Control of McKean–Vlasov dynamics versus mean field games , 2012, 1210.5771.
[17] Zhen Wu,et al. On well-posedness of forward-backward SDEs-A unified approach , 2011, 1110.4658.
[18] Daniel Andersson,et al. A Maximum Principle for SDEs of Mean-Field Type , 2011 .
[19] Boualem Djehiche,et al. Mean-Field Backward Stochastic Differential Equations . A Limit Approach ∗ , 2007 .
[20] S. Peng,et al. Mean-field backward stochastic differential equations and related partial differential equations , 2007, 0711.2167.
[21] P. Lions,et al. Mean field games , 2007 .
[22] Peter E. Caines,et al. Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle , 2006, Commun. Inf. Syst..
[23] F. Delarue. On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case , 2002 .
[24] Jiongmin Yong,et al. A Leader-Follower Stochastic Linear Quadratic Differential Game , 2002, SIAM J. Control. Optim..
[25] É. Pardoux,et al. Forward-backward stochastic differential equations and quasilinear parabolic PDEs , 1999 .
[26] S. Peng,et al. Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control , 1999 .
[27] T. Başar,et al. Dynamic Noncooperative Game Theory, 2nd Edition , 1998 .
[28] R. Darling,et al. BACKWARDS SDE WITH RANDOM TERMINAL TIME AND APPLICATIONS TO SEMILINEAR ELLIPTIC PDE , 1997 .
[29] J. Yong. Finding adapted solutions of forward–backward stochastic differential equations: method of continuation , 1997 .
[30] S. Peng,et al. Solution of forward-backward stochastic differential equations , 1995 .
[31] J. Yong,et al. Solving forward-backward stochastic differential equations explicitly — a four step scheme , 1994 .
[32] F. Antonelli,et al. Backward-Forward Stochastic Differential Equations , 1993 .
[33] Shige Peng,et al. Probabilistic interpretation for systems of quasilinear parabolic partial differential equations , 1991 .
[34] A. Sznitman. Topics in propagation of chaos , 1991 .
[35] S. Peng,et al. Adapted solution of a backward stochastic differential equation , 1990 .
[36] T. Başar,et al. Stackelberg strategies in linear-quadratic stochastic differential games , 1981 .
[37] J. Bismut. Conjugate convex functions in optimal stochastic control , 1973 .
[38] J. Cruz,et al. On the Stackelberg strategy in nonzero-sum games , 1973 .
[39] J. B. Cruz,et al. Additional aspects of the Stackelberg strategy in nonzero-sum games , 1972, IEEE Conference on Decision and Control.
[40] C. Chen,et al. Stackelburg solution for two-person games with biased information patterns , 1972 .
[41] H. Stackelberg,et al. Marktform und Gleichgewicht , 1935 .