Mean-field-type games with jump and regime switching
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Cites work
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- A Mean-Field Game of Evacuation in Multilevel Building
- 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
- A Stochastic Maximum Principle for Risk-Sensitive Mean-Field Type Control
- Anonymous sequential games
- Control of McKean-Vlasov dynamics versus mean field games
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- Deterministic mean-field ensemble Kalman filtering
- Discrete time mean-field stochastic linear-quadratic optimal control problems
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- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- scientific article; zbMATH DE number 1515832 (Why is no real title available?)
- scientific article; zbMATH DE number 3195732 (Why is no real title available?)
- 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
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- Mean-field-type games
- Nonlinear SDEs driven by L\'evy processes and related PDEs
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- Polynomial chaos for the approximation of uncertainties: Chances and limits
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- Risk-sensitive mean-field-type games with L^p-norm drifts
- Stochastic control of memory mean-field processes
- Stochastic Games
- Stochastic Maximum Principle for Mean-Field Type Optimal Control Under Partial Information
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- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
Cited in
(17)- Stochastic control for mean-field stochastic partial differential equations with jumps
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- Master adjoint systems in mean-field-type games
- On the structure and regularity of optimal solutions in a differential game with regime switching and spillovers
- Linear-quadratic mean-field type Stackelberg differential games for stochastic jump-diffusion systems
- Hierarchical structures and leadership design in mean-field-type games with polynomial cost
- COVID-19: data-driven mean-field-type game perspective
- Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model
- Mean-field-type games
- Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls
- Mean field control and finite agent approximation for regime-switching jump diffusions
- Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
- A conditional mean-field type stochastic differential game of hybrid switching diffusions systems with delay and its applications
- Conditional McKean-Vlasov differential equations with common Poissonian noise: propagation of chaos
- Closed-loop equilibria for mean-field games in randomly switching environments with general discounting costs
- Ergodic mean field games of singular control with regime-switching
- The stochastic maximum principle for mean-field relaxed control problem with regime-switching
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