Risk-Sensitive Mean-Field Type Control under Partial Observation

TL;DR

This paper develops a stochastic maximum principle for controlling mean-field type diffusions under partial observation with risk-sensitive objectives, advancing the theoretical framework for such complex stochastic control problems.

Contribution

It introduces a novel SMP for risk-sensitive mean-field control problems with partial observations, expanding the theoretical tools available for these challenging scenarios.

Findings

Established a stochastic maximum principle for the problem.

Extended control theory to include risk-sensitive mean-field models.

Provided a foundation for future research in risk-sensitive stochastic control.

Abstract

We establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.