Mean-field-type games with jump and regime switching
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Publication:2175351
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Cites work
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 3195732 (Why is no real title available?)
- A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
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- A mean-field stochastic maximum principle via Malliavin calculus
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- Anonymous sequential games
- Control of McKean-Vlasov dynamics versus mean field games
- Control problem on space of random variables and master equation
- Deterministic mean-field ensemble Kalman filtering
- Discrete time mean-field stochastic linear-quadratic optimal control problems
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- Maximum principles for forward-backward stochastic control systems with correlated state and observation noises
- Mean field games and mean field type control theory
- Mean-field backward stochastic differential equations and applications
- Mean-field backward stochastic differential equations and related partial differential equations
- Mean-field backward stochastic differential equations: A limit approach
- Mean-field-type games
- Nonlinear SDEs driven by L\'evy processes and related PDEs
- On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
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- On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players
- Optimal control of mean-field jump-diffusion systems with delay: a stochastic maximum principle approach
- Polynomial chaos for the approximation of uncertainties: Chances and limits
- Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
- Risk-sensitive mean-field-type games with \(L^p\)-norm drifts
- Stochastic Games
- Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
- Stochastic control of memory mean-field processes
- Stochastic maximum principle in the mean-field controls
- The Maximum Principle for Partially Observed Optimal Control of Stochastic Differential Equations
- The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
Cited in
(12)- On the structure and regularity of optimal solutions in a differential game with regime switching and spillovers
- Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls
- Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- Hierarchical structures and leadership design in mean-field-type games with polynomial cost
- COVID-19: data-driven mean-field-type game perspective
- Mean field control and finite agent approximation for regime-switching jump diffusions
- Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model
- Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
- Mean-field-type games
- Stochastic control for mean-field stochastic partial differential equations with jumps
- Master adjoint systems in mean-field-type games
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