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1. Optimal control of forward–backward mean-field stochastic delayed systems

Author

Agram, Nacira, Engen Rose, Elin, Agram, Nacira, and Engen Rose, Elin

Abstract

We study methods for solving stochastic control problems of systems offorward–backward mean-field equations with delay, in finite and infinite time horizon.Necessary and sufficient maximum principles under partial information are given. The resultsare applied to solve a mean-field recursive utility optimal problem.

Published
2018
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