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Optimal control and zero-sum stochastic differential game problems of mean-field type
Published 19 Mar 2016 in math.PR and math.OC | (1603.06071v3)
Abstract: 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.
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