Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type

Boualem Djehiche; Said Hamadène

doi:10.1007/s00245-018-9525-6

Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type

Boualem Djehiche, Said Hamadène

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type, under dynamics driven by weak solutions of stochastic differential equations of mean-field type.

Original language	English (US)
Pages (from-to)	933-960
Number of pages	28
Journal	Applied Mathematics and Optimization
Volume	81
Issue number	3
DOIs	https://doi.org/10.1007/s00245-018-9525-6
State	Published - Jun 1 2020

Keywords

Backward SDEs
Mean-field
Nonlinear diffusion process
Optimal control
Saddle-point
Zero-sum game

ASJC Scopus subject areas

Control and Optimization
Applied Mathematics

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10.1007/s00245-018-9525-6

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title = "Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type",

abstract = "We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type, under dynamics driven by weak solutions of stochastic differential equations of mean-field type.",

keywords = "Backward SDEs, Mean-field, Nonlinear diffusion process, Optimal control, Saddle-point, Zero-sum game",

author = "Boualem Djehiche and Said Hamad{\`e}ne",

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AU - Hamadène, Said

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KW - Nonlinear diffusion process

KW - Optimal control

KW - Saddle-point

KW - Zero-sum game

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Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type

Abstract

Keywords

ASJC Scopus subject areas

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