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Risk-sensitive mean-field type control under partial observation
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
2016 (English)In: Springer Proceedings in Mathematics and Statistics, Springer, 2016, 243-263 p.Conference paper, Published paper (Refereed)
Resource type
Text
Abstract [en]

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

Place, publisher, year, edition, pages
Springer, 2016. 243-263 p.
Keyword [en]
Maximum principle, Mean-field SDE, Partial observation, Risk-sensitive control, Time inconsistent control, Stochastic systems, Control problems, Functionals, Mean field, Risk sensitive control, Stochastic maximum principles
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-181125DOI: 10.1007/978-3-319-23425-0_9Scopus ID: 2-s2.0-84951826820ISBN: 9783319234243 (print)OAI: oai:DiVA.org:kth-181125DiVA: diva2:901007
Conference
Conference on Stochastics for Environmental and Financial Economics, SEFE 2015
Note

QC 20160205

Available from: 2016-02-05 Created: 2016-01-29 Last updated: 2016-02-05Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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