Risk-Sensitive Mean-Field Type Control under Partial Observation
classification
🧮 math.OC
cs.SYmath.PRq-fin.MF
keywords
controlmean-fieldrisk-sensitivetypediffusionsestablishfunctionalsmaximum
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We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.
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