Risk-sensitive mean-field type control under partial observation

Boualem Djehiche; Hamidou Tembine

doi:10.1007/978-3-319-23425-0_9

Risk-sensitive mean-field type control under partial observation

Boualem Djehiche, Hamidou Tembine

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English (US)
Title of host publication	Stochastics of Environmental and Financial Economics
Editors	Fred Espen Benth, Giulia Di Nunno
Publisher	Springer New York LLC
Pages	243-263
Number of pages	21
ISBN (Print)	9783319234243
DOIs	https://doi.org/10.1007/978-3-319-23425-0_9
State	Published - 2016

Publication series

Name	Springer Proceedings in Mathematics and Statistics
Volume	138
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

General Mathematics

Access to Document

10.1007/978-3-319-23425-0_9

Cite this

Risk-sensitive mean-field type control under partial observation. / Djehiche, Boualem; Tembine, Hamidou.
Stochastics of Environmental and Financial Economics. ed. / Fred Espen Benth; Giulia Di Nunno. Springer New York LLC, 2016. p. 243-263 (Springer Proceedings in Mathematics and Statistics; Vol. 138).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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Risk-sensitive mean-field type control under partial observation

Abstract

Publication series

Keywords

ASJC Scopus subject areas

Access to Document

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