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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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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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https://doi.org/10.1080/17442508.2011.651619

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