A maximum principle for SDEs of mean-field type
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- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Mean field games
- Mean-field backward stochastic differential equations and related partial differential equations
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- Nonlinear SDEs driven by L\'evy processes and related PDEs
- Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
- The stochastic maximum principle in optimal control of degenerate diffusions with non-smooth coefficients
Cited in
(only showing first 100 items - show all)- Pareto-based guaranteed cost control of the uncertain mean-field stochastic systems in infinite horizon
- Finite horizon mean-field stochastic \(H_2/H_\infty\) control for continuous-time systems with \((x,v)\)-dependent noise
- Infinite horizon optimal control problem of mean-field backward stochastic delay differential equation under partial information
- Discrete-time mean field partially observable controlled systems subject to common noise
- A maximum principle for mean-field SDEs with time change
- Mean-field Pontryagin maximum principle
- Discrete-time mean-field stochastic \(H_2/H_\infty\) control
- Optimal control of forward-backward mean-field stochastic delayed systems
- Viability theorem for deterministic mean field type control systems
- A stochastic maximum principle for Markov chains of mean-field type
- Mean-field type games between two players driven by backward stochastic differential equations
- Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs
- Fully coupled mean-field forward-backward stochastic differential equations and stochastic maximum principle
- Study on stability and stabilizability of discrete-time mean-field stochastic systems
- Steering the distribution of agents in mean-field games system
- Stochastic control of memory mean-field processes
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
- 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
- Stochastic maximum principle in the mean-field controls
- A stability property in mean field type differential games
- Linear quadratic mean-field-game of backward stochastic differential systems
- Forward and backward mean-field stochastic partial differential equation and optimal control
- Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs
- Stochastic H₂/H_ control for discrete-time mean-field systems with Poisson jump
- Mean-field linear-quadratic stochastic differential games
- Pareto efficiency in the infinite horizon mean-field type cooperative stochastic differential game
- A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type
- Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Solvability of infinite horizon McKean-Vlasov FBSDEs in mean field control problems and games
- Hierarchical mean-field type control of price dynamics for electricity in smart grid
- A varying terminal time mean-variance model
- Stochastic differential games for crowd evacuation problems: a paradox
- Maximum principle for discrete-time stochastic control problem of mean-field type
- Mean-field-type games with jump and regime switching
- The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance
- An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
- On a maximal inequality and its application to SDEs with singular drift
- Linear-quadratic mean field stochastic zero-sum differential games
- Berge equilibrium in linear-quadratic mean-field-type games
- Necessary/sufficient conditions for Pareto optimality in finite horizon mean-field type stochastic differential game
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- Hierarchical structures and leadership design in mean-field-type games with polynomial cost
- Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents
- A general stochastic maximum principle for mean-field controls with regime switching
- A nonhomogeneous mean-field linear-quadratic optimal control problem and application
- Lattice approximations of the first-order mean field type differential games
- Stochastic maximum principle of mean-field jump-diffusion systems with mixed delays
- On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
- Krasovskii-Subbotin approach to mean field type differential games
- Risk-sensitive mean field games via the stochastic maximum principle
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Backward-forward linear-quadratic mean-field games with major and minor agents
- Second-order necessary conditions for optimal control with recursive utilities
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
- A mean-field optimal control formulation of deep learning
- Stochastic optimal control of McKean-Vlasov equations with anticipating law
- Mean-field-type games
- A maximum principle for fully coupled stochastic control systems of mean-field type
- A probabilistic weak formulation of mean field games and applications
- Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem
- A necessary condition for mean-field type stochastic differential equations with correlated state and observation noises
- Maximum principle for quasi-linear reflected backward SPDEs
- Maximum principle for mean-field zero-sum stochastic differential game with partial information and its application to finance
- Infinite horizon optimal control of mean-field forward-backward delayed systems with Poisson jumps
- A general maximum principle for mean-field forward-backward doubly stochastic differential equations with jumps processes
- Feedback Stackelberg strategies for the discrete-time mean-field stochastic systems in infinite horizon
- A mean field capital accumulation game with HARA utility
- On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players
- On mean-field partial information maximum principle of optimal control for stochastic systems with Lévy processes
- Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
- Risk-awareness in multi-level building evacuation with smoke: Burj Khalifa case study
- Maximum principle for delayed stochastic mean-field control problem with state constraint
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- Itô's formula for flows of measures on semimartingales
- Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
- Risk-Sensitive Mean-Field Type Control Under Partial Observation
- Optimal control of predictive mean-field equations and applications to finance
- Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
- Linear-quadratic mean field games
- A characterization of sub-game perfect equilibria for SDEs of mean-field type
- Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
- Continuous time mean-variance portfolio optimization through the mean field approach
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
- Bellman equation and viscosity solutions for mean-field stochastic control problem
- Mean-field leader-follower games with terminal state constraint
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Mean-field backward-forward stochastic differential equations and nonzero sum stochastic differential games
- Control of McKean-Vlasov dynamics versus mean field games
- Nonlinear diffusions and stable-like processes with coefficients depending on the median or var
- A stochastic maximum principle in mean-field optimal control problems for jump diffusions
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- A Stochastic Pontryagin Maximum Principle on the Sierpinski Gasket
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
- Mean-field type modeling of nonlocal crowd aversion in pedestrian crowd dynamics
- The relaxed optimal control problem for mean-field SDEs systems and application
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