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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

A mean-field stochastic maximum principle via Malliavin calculus

Thilo Meyer-Brandis Center of Mathematics for Applications (CMA), University of Oslo, Box 1053 Blindern, N-0316, Oslo, Norway
,
Bernt Øksendal Center of Mathematics for Applications (CMA), University of Oslo, Box 1053 Blindern, N-0316, Oslo, Norway; Norwegian School of Economics and Business Administration (NHH), Helleveien 30, N-5045, Bergen, Norway
&
Xun Yu Zhou Mathematical Institute, University of Oxford, 24-29 St Giles', Oxford, OX1 3LB, UK; Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, Hong KongCorrespondence[email protected]
Pages 643-666 | Received 25 May 2010, Accepted 17 Dec 2011, Published online: 10 Feb 2012

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Gaofeng Zong. (2023) Malliavin derivative of Teugels martingales and mean-field type stochastic maximum principle. Stochastics 0:0, pages 1-20.
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Xun Li, Allen H. Tai & Fei Tian. (2021) A discrete-time mean-field stochastic linear-quadratic optimal control problem with financial application. International Journal of Control 94:1, pages 175-189.
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Yang Shen & Tak Kuen Siu. (2013) A stochastic maximum principle for backward control systems with random default time. International Journal of Control 86:5, pages 953-965.
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