A mean-field stochastic maximum principle via Malliavin calculus

Author: Meyer-Brandis Thilo   Øksendal Bernt   Zhou Xun Yu  

Publisher: Taylor & Francis Ltd

ISSN: 1744-2508

Source: Stochastics: An International Journal of Probability and Stochastic Processes, Vol.84, Iss.5-6, 2012-10, pp. : 643-666

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Abstract