Risk-Sensitive Mean-Field-Type Control

Bensoussan, A; Djehiche, B; Tembine, H; Yam, P

Tembine, H (reprint author), New York Univ Abu Dhabi, Learning & Game Theory Lab, Abu Dhabi, U Arab Emirates.

2017 IEEE 56TH ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2017; ( ):

Abstract

We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend o......

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