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A Maximum Principle for SDEs of Mean-Field Type

✍ Scribed by Daniel Andersson; Boualem Djehiche

Publisher: Springer
Year: 2010
Tongue: English
Weight: 531 KB
Volume: 63
Category: Article
ISSN: 0095-4616
DOI: 10.1007/s00245-010-9123-8

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Let A D .a ij / n n be an invertible matrix and A 1 D .a ij / n n be the inverse of A. In this paper, we consider the generalized Liouville system (0.1) Ã D 0; i 2 I WD f1; : : : ; ng;