Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5001699 | European Journal of Control | 2017 | 8 Pages |
Abstract
In this paper, we investigate the stochastic optimal control problem for the zero-sum stochastic differential game of mean-field type with partial information. We derive a necessary and sufficient maximum principle for that problem by virtue of the duality method and the mean-field backward stochastic differential equations. As an application, we apply the result to the mean-field stochastic differential portfolio game problem, and obtain an equilibrium point of such game.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Jinbiao Wu, Zaiming Liu,