Risk-sensitive mean-field type control under partial observation

Boualem Djehiche, Hamidou Tembine

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.

Original languageEnglish (US)
Title of host publicationStochastics of Environmental and Financial Economics
EditorsFred Espen Benth, Giulia Di Nunno
PublisherSpringer New York LLC
Pages243-263
Number of pages21
ISBN (Print)9783319234243
DOIs
StatePublished - 2016

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume138
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Keywords

  • Maximum principle
  • Mean-field SDE
  • Partial observation
  • Risk-sensitive control
  • Time inconsistent control

ASJC Scopus subject areas

  • Mathematics(all)

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  • Cite this

    Djehiche, B., & Tembine, H. (2016). Risk-sensitive mean-field type control under partial observation. In F. E. Benth, & G. Di Nunno (Eds.), Stochastics of Environmental and Financial Economics (pp. 243-263). (Springer Proceedings in Mathematics and Statistics; Vol. 138). Springer New York LLC. https://doi.org/10.1007/978-3-319-23425-0_9