Risk-Sensitive Mean-Field Type Control under Partial Observation
Optimization and Control
2014-11-27 v1 Systems and Control
Probability
Mathematical Finance
Abstract
We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.
Keywords
Cite
@article{arxiv.1411.7231,
title = {Risk-Sensitive Mean-Field Type Control under Partial Observation},
author = {Boualem Djehiche and Hamidou Tembine},
journal= {arXiv preprint arXiv:1411.7231},
year = {2014}
}
Comments
arXiv admin note: text overlap with arXiv:1404.1441