Djehiche, Boualem; Tembine, Hamidou; Tempone, Raul - arXiv.org - 2014
In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle (SMP) for optimal control of stochastic differential equations (SDEs) of mean-field type, in which the drift and the diffusion coefficients as well as...