KTH Mathematics

Optimal control and zero-sum games for Markov chains of mean-field type B Djehiche, S Hamadene arxiv.org/abs/1606.04244 Summary: Applying a change of measure from a reference space to define dynamics under a certain control, the regularity of the problem improves but we are left with a functional minimization in order to charaterize the optimal control - in contrast to pointwise optimization which is the standard outcome of the SMP. List of papers Front page

Published by: Alexander Aurell Updated: 01-03-2018