Optimal control and zero-sum stochastic differential game problems of mean-field type

2016/03/19 by Boualem Djehiche, Djehiche, Boualem, Saïd Hamadène +2 · 1 citation
Economics, Econometrics and Finance · Mathematics · Social Sciences · #49N90 #60H07 #60H10 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications #math.OC #math.PR #msc:49N90 #msc:60H07 #msc:60H10

paper · pdf · doi:10.48550/arxiv.1603.06071

20 pages

openalex publication_date 2016/03/19 · arxiv created 2017/07/22 · arxiv updated 2017/07/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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• Optimal control and zero-sum games for Markov chains of mean-field type

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