Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
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Publication:2807034
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)
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- Propagation of chaos of forward-backward stochastic differential equations with graphon interactions
- 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
- The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Optimal lock-down intensity: a stochastic pandemic control approach of path integral
- Stochastic differential game in high frequency market
- An introduction to optimal control of FBSDE with incomplete information
- Stochastic descriptor pursuit game
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- Latency and liquidity risk
- Systemic risk and interbank lending
- On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
- A modified MSA for stochastic control problems
- Linear backward stochastic differential equations with Gaussian Volterra processes
- Ergodicity of the underdamped mean-field Langevin dynamics
- 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
- Rogue traders
- 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
- A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
- Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence
- A characterization of solutions of quadratic BSDEs and a new approach to existence
- Cauchy Theory for General Kinetic Vicsek Models in Collective Dynamics and Mean-Field Limit Approximations
- Recent developments in machine learning methods for stochastic control and games
- Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
- A dynamic pricing game for general insurance market
- Maximum principle for stochastic control of SDEs with measurable drifts
- Closed‐loop Nash competition for liquidity
- Two-person zero-sum stochastic linear-quadratic differential games
- The modified MSA, a gradient flow and convergence
- Ergodic mean field games with Hörmander diffusions
- The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems
- On the convergence of closed-loop Nash equilibria to the mean field game limit
- Synchronization in a Kuramoto mean field game
- 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
- Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
- 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
- A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians
- Submodular mean field games: existence and approximation of solutions
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Multilevel Monte Carlo EM scheme for MV-SDEs with small noise
- 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
- Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
- \(N\)-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction
- Capacity expansion games with application to competition in power generation investments
- Mean field games for diel vertical migration with diffusion
- Copuling population dynamics and diel migration patterns
- Propagation of chaos: a review of models, methods and applications. I: Models and methods
- The mean-field limit for particle systems with uniform full-rank constraints
- 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
- Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations
- Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games
- A Stackelberg order execution game
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