Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
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Publication:2807034
zbMATH Open1342.60001MaRDI QIDQ2807034FDOQ2807034
Authors: René Carmona 
Publication date: 19 May 2016
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dynamic programmingbackward stochastic differential equationsmean field gamesstochastic controlstochastic differential equationsstochastic differential gamesstochastic maximum principleMcKean-Vlasov equation
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Differential games and control (49N70) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02)
Cited In (74)
- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
- Asymptotics for optimal controls for horizontal mean curvature flow
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
- Nonzero-sum risk-sensitive finite-horizon continuous-time stochastic games
- Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
- A stochastic representation for the solution of approximated mean curvature flow
- Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems
- Optimal stochastic control, stochastic target problems, and backward SDE.
- An introduction to optimal control of FBSDE with incomplete information
- Stochastic differential game in high frequency market
- Latency and liquidity risk
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
- Systemic risk and interbank lending
- A modified MSA for stochastic control problems
- Linear backward stochastic differential equations with Gaussian Volterra processes
- Data assimilation: the Schrödinger perspective
- Systemic risk and stochastic games with delay
- Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems
- Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
- Principal-agent problem with common agency without communication
- Stochastic differential games and inverse optimal control and stopper policies
- Stochastic games for fuel follower problem: \(N\) versus mean field game
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
- A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
- Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence
- Cauchy Theory for General Kinetic Vicsek Models in Collective Dynamics and Mean-Field Limit Approximations
- A characterization of solutions of quadratic BSDEs and a new approach to existence
- Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
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- A dynamic pricing game for general insurance market
- Two-person zero-sum stochastic linear-quadratic differential games
- The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems
- Ergodic mean field games with Hörmander diffusions
- On the convergence of closed-loop Nash equilibria to the mean field game limit
- A modified method of successive approximations for stochastic recursive optimal control problems
- On a class of McKean-Vlasov stochastic functional differential equations with applications
- Recurrent neural networks for stochastic control problems with delay
- Sequential convex programming for non-linear stochastic optimal control
- Importance sampling for McKean-Vlasov SDEs
- Mean field games with heterogeneous groups: application to banking systems
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Submodular mean field games: existence and approximation of solutions
- Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
- A Probabilistic Approach to Extended Finite State Mean Field Games
- \(N\)-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction
- Copuling population dynamics and diel migration patterns
- Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
- The mean-field limit for particle systems with uniform full-rank constraints
- Propagation of chaos: a review of models, methods and applications. I: Models and methods
- Capacity expansion games with application to competition in power generation investments
- Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model
- Antithetic multilevel sampling method for nonlinear functionals of measure
- Propagation of chaos: a review of models, methods and applications. II: Applications
- Weak quantitative propagation of chaos via differential calculus on the space of measures
- Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Propagation of chaos of forward-backward stochastic differential equations with graphon interactions
- The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition
- Optimal lock-down intensity: a stochastic pandemic control approach of path integral
- Stochastic descriptor pursuit game
- Ergodicity of the underdamped mean-field Langevin dynamics
- Rogue traders
- Recent developments in machine learning methods for stochastic control and games
- Closed‐loop Nash competition for liquidity
- The modified MSA, a gradient flow and convergence
- Synchronization in a Kuramoto mean field game
- Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
- A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians
- Multilevel Monte Carlo EM scheme for MV-SDEs with small noise
- Mean field games for diel vertical migration with diffusion
- Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations
- A Stackelberg order execution game
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