Derivation of a stochastic maximum principle for McKean-Vlasov SDEs with common noise that requires a third adjoint state to linearize all second-order terms in the cost expansion.
A general stochastic maximum principle for SDEs of mean-field type.Appl
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Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations with Common Noise
Derivation of a stochastic maximum principle for McKean-Vlasov SDEs with common noise that requires a third adjoint state to linearize all second-order terms in the cost expansion.