Risk-sensitive mean-field type control under partial observation

Boualem Djehiche, Hamidou Tembine

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


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
Number of pages21
ISBN (Print)9783319234243
StatePublished - 2016

Publication series

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


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

ASJC Scopus subject areas

  • Mathematics(all)

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