Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
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backward stochastic differential equationsdynamic programmingMcKean-Vlasov equationmean field gamesstochastic controlstochastic differential equationsstochastic differential gamesstochastic maximum principle
Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Applications of optimal control and differential games (49N90) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Differential games (aspects of game theory) (91A23) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited in
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- A stochastic representation for the solution of approximated mean curvature flow
- Mean field games with heterogeneous groups: application to banking systems
- Submodular mean field games: existence and approximation of solutions
- Propagation of chaos: a review of models, methods and applications. I: Models and methods
- Propagation of chaos: a review of models, methods and applications. II: Applications
- Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games
- Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift
- A characterization of solutions of quadratic BSDEs and a new approach to existence
- 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
- Coupled FBSDEs with measurable coefficients and its application to parabolic PDEs
- Weak quantitative propagation of chaos via differential calculus on the space of measures
- Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems
- Asymptotics for optimal controls for horizontal mean curvature flow
- A dynamic pricing game for general insurance market
- Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model
- An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model
- A modified MSA for stochastic control problems
- Linear backward stochastic differential equations with Gaussian Volterra processes
- Antithetic multilevel sampling method for nonlinear functionals of measure
- On the convergence of closed-loop Nash equilibria to the mean field game limit
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes
- Strong approximation of non-autonomous time-changed McKean-Vlasov stochastic differential equations
- Optimal stochastic control, stochastic target problems, and backward SDE.
- Principal-agent problem with common agency without communication
- Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
- Stochastic games for fuel follower problem: \(N\) versus mean field game
- Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
- An introduction to optimal control of FBSDE with incomplete information
- Stochastic differential games and inverse optimal control and stopper policies
- Two-person zero-sum stochastic linear-quadratic differential games
- A Probabilistic Approach to Extended Finite State Mean Field Games
- Cauchy Theory for General Kinetic Vicsek Models in Collective Dynamics and Mean-Field Limit Approximations
- Sequential convex programming for non-linear stochastic optimal control
- \(N\)-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction
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- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
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- On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
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- Backward stochastic differential equations. From linear to fully nonlinear theory
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- A modified method of successive approximations for stochastic recursive optimal control problems
- The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems
- Synchronization in a Kuramoto mean field game
- The mean-field limit for particle systems with uniform full-rank constraints
- A New Monotonicity Condition for Ergodic Backward SDEs and Ergodic Control with Superquadratic Hamiltonians
- Importance sampling for McKean-Vlasov SDEs
- Copuling population dynamics and diel migration patterns
- Mean field games for diel vertical migration with diffusion
- Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations
- The locally homeomorphic property of McKean-Vlasov SDEs under the global Lipschitz condition
- Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems
- Optimal lock-down intensity: a stochastic pandemic control approach of path integral
- Propagation of chaos of forward-backward stochastic differential equations with graphon interactions
- Rogue traders
- On a class of McKean-Vlasov stochastic functional differential equations with applications
- Maximum principle for stochastic control of SDEs with measurable drifts
- Closed‐loop Nash competition for liquidity
- Convergence of policy gradient methods for finite-horizon exploratory linear-quadratic control problems
- A Stackelberg order execution game
- Stochastic descriptor pursuit game
- Ergodicity of the underdamped mean-field Langevin dynamics
- Recent developments in machine learning methods for stochastic control and games
- The modified MSA, a gradient flow and convergence
- Multilevel Monte Carlo EM scheme for MV-SDEs with small noise
- Closed-loop equilibria for Stackelberg games: a story about stochastic targets
- Macroscopic market making games
- Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients
- Numerical analysis for mean-field type stochastic differential equations with piecewise continuous arguments
- Dimension-independent L^p convergence rate of propagation of chaos and numerical analysis for McKean-Vlasov stochastic differential equations
- A class of time-changed McKean-Vlasov stochastic differential equations with super-linear drift and Hölder diffusion coefficients
- Error bounds for particle gradient descent, and extensions of the log-Sobolev and Talagrand inequalities
- Uncertainty quantification. Abstracts from the workshop held April 20--25, 2025
- Finite-agent stochastic differential games on large graphs. I: The linear-quadratic case
- An -potential game framework for N-player dynamic games
- Multilevel diffusion: infinite dimensional score-based diffusion models for image generation
- Transboundary pollution control under evolving social norms: a mean-field approach
- Linear-quadratic-singular stochastic differential games and applications
- SOC-MartNet: a martingale neural network for the Hamilton-Jacobi-Bellman equation without explicit \(\inf_{u\in U}H\) in stochastic optimal controls
- Approximately optimal distributed stochastic controls beyond the mean field setting
- Sparse identification of nonlocal interaction kernels in nonlinear gradient flow equations via partial inversion
- A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules
- Non-asymptotic convergence rates for mean-field games: weak formulation and McKean-Vlasov BSDEs
- On the infinite time horizon approximation for Lévy-driven McKean-Vlasov SDEs with non-globally Lipschitz continuous and super-linearly growth drift and diffusion coefficients
- Relative arbitrage opportunities in an extended mean field system
- Price impact and long-term profitability of energy storage
- From Nash equilibrium to social optimum and back: a mean field perspective
- Efficient stability-preserving schemes for stochastic McKean-Vlasov equations with uncertainty
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
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