Risk-sensitive mean-field type control under partial observation

Boualem Djehiche, Tembine Hamidou

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

Abstract

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
PublisherSpringer New York LLC
Pages243-263
Number of pages21
Volume138
ISBN (Print)9783319234243
DOIs
StatePublished - Jan 1 2016

Fingerprint

Partial Observation
Maximum Principle
Mean Field
Control Problem

Keywords

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

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Djehiche, B., & Hamidou, T. (2016). Risk-sensitive mean-field type control under partial observation. In Stochastics of Environmental and Financial Economics (Vol. 138, pp. 243-263). Springer New York LLC. https://doi.org/10.1007/978-3-319-23425-0_9

Risk-sensitive mean-field type control under partial observation. / Djehiche, Boualem; Hamidou, Tembine.

Stochastics of Environmental and Financial Economics. Vol. 138 Springer New York LLC, 2016. p. 243-263.

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

Djehiche, B & Hamidou, T 2016, Risk-sensitive mean-field type control under partial observation. in Stochastics of Environmental and Financial Economics. vol. 138, Springer New York LLC, pp. 243-263. https://doi.org/10.1007/978-3-319-23425-0_9
Djehiche B, Hamidou T. Risk-sensitive mean-field type control under partial observation. In Stochastics of Environmental and Financial Economics. Vol. 138. Springer New York LLC. 2016. p. 243-263 https://doi.org/10.1007/978-3-319-23425-0_9
Djehiche, Boualem ; Hamidou, Tembine. / Risk-sensitive mean-field type control under partial observation. Stochastics of Environmental and Financial Economics. Vol. 138 Springer New York LLC, 2016. pp. 243-263
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