Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics
type: Dataset
description: The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the connection and the differences between the two sets of problems. We prove a new version of the stochastic maximum principle and give sufficient conditions for existence of an optimal control. We also provide examples for which our sufficient conditions for existence of an optimal solution are satisfied. Finally we show that our solution to the control problem provides approximate equilibria for large stochastic games with mean field interactions.
landing page: 0091-1798
keyword: 60h10-93e20-60f15
keyword: forward-backward-equations
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
keyword: large-population
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: mckean-vlasov-equations
keyword: stochastic-optimal-control
issued: 2026-05-10T09:53:00.242285
modified: 2026-05-10T09:53:00.242290
language: en
contact point: Organization
  fn: CCSD

test_moissonnage_selune
type: Agent

Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics
type: Distribution
format: HTML
access URL: https://hal.science/hal-00803683
issued: 2026-05-10T09:53:00.244623
modified: 2026-05-10T09:53:00.228831