Optimal control and zero-sum stochastic differential game problems of mean-field type
Probability
2017-07-25 v3 Optimization and Control
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.
Cite
@article{arxiv.1603.06071,
title = {Optimal control and zero-sum stochastic differential game problems of mean-field type},
author = {Boualem Djehiche and Said Hamadène},
journal= {arXiv preprint arXiv:1603.06071},
year = {2017}
}
Comments
20 pages