Derivation of a stochastic maximum principle for McKean-Vlasov SDEs with common noise that requires a third adjoint state to linearize all second-order terms in the cost expansion.
McKean-Vlasov optimal control: the dynamic programming principle.Ann
2 Pith papers cite this work. Polarity classification is still indexing.
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The paper proves existence of relaxed equilibria for non-exchangeable mean field games with moderate interactions and common noise, and shows asymptotic equivalence between finite-player approximate Nash equilibria and the mean field limit.
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Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations with Common Noise
Derivation of a stochastic maximum principle for McKean-Vlasov SDEs with common noise that requires a third adjoint state to linearize all second-order terms in the cost expansion.