Applied Mathematics and Optimization, Vol.81, No.3, 933-960, 2020
Optimal Control and Zero-Sum Stochastic Differential Game Problems of Mean-Field Type
We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type, under dynamics driven by weak solutions of stochastic differential equations of mean-field type.
Keywords:Mean-field;Nonlinear diffusion process;Backward SDEs;Optimal control;Zero-sum game;Saddle-point