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math.AP2017
Bellman systems with mean field dependent dynamics
Alain Bensoussan, Miroslav Bulíček, Jens Frehse
We deal with nonlinear elliptic and parabolic systems that are the Bellman like systems associated to stochastic differential games with mean field dependent dynamics. The key nove…
math.OC2017
Risk-Sensitive Mean-Field-Type Control
Alain Bensoussan, Boualem Djehiche, Hamidou Tembine +1
We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law a…