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arXiv · 1603.06071

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

Boualem Djehiche·Said Hamadène
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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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Boualem Djehiche, Said Hamadène. 2016-03-19. Optimal control and zero-sum stochastic differential game problems of mean-field type. https://arxiv.org/abs/1603.06071

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