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Dynamic Programming for Mean-Field Type Control
16 references·0 citing·33 second hop
Dynamic Programming for Mean-Field Type Control (2015)Dynamic Programming for Mean-Field Type C…Nonlinear Lévy processes and their characteristics (2015)Nonlinear Lévy processes and …Mean Field Games and systemic risk (2015)Mean Field Games and systemic…The Master equation in mean field theory (2014)The Master equation in mean f…The Master Equation for Large Population Equilibriums (2014)The Master Equation for Large…Dynamic programming for mean-field type control (2014)Dynamic programming for mean-…Bertrand and Cournot Mean Field Games (2014)Bertrand and Cournot Mean Fie…Mean Field Games and Mean Field Type Control Theory (2013)Mean Field Games and Mean Fie…Large Deviations for a Mean Field Model of Systemic Risk (2013)Large Deviations for a Mean F…Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (2012)Optimal Stochastic Control, S…Control of McKean–Vlasov dynamics versus mean field games (2012)Control of McKean–Vlasov dyna…Mean Field Games and Applications (2010)Mean Field Games and Applicat…A Maximum Principle for SDEs of Mean-Field Type (2010)A Maximum Principle for SDEs …Mean field games (2007)Mean field gamesComputational Methods for Option Pricing (2005)Computational Methods for Opt…Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30) (2005)Computational Methods for Opt…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Equilibrium points in n -person games (1950)The Bargaining Problem (1950)Mean Field Games Models—A Brief Survey (2013)Probabilistic Analysis of Mean-Field Games (2013)Theory of games and economic behavior (2019)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Stochastic controls : Hamiltonian systems and HJB equations (1999)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)A General Stochastic Maximum Principle for SDEs of Mean-field Type (2011)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Controlled Markov Processes and Viscosity Solutions (2005)A probabilistic weak formulation of mean field games and applications (2015)Mean field games with common noise (2016)The Master Equation and the Convergence Problem in Mean Field Games (2019)Stochastic Hamilton–Jacobi–Bellman Equations (1992)Bellman equation and viscosity solutions for mean-field stochastic control problem (2017)Limit Theory for Controlled McKean--Vlasov Dynamics (2017)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Dynamic Noncooperative Game Theory, 2nd Edition (1998)Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics (2017)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps (2014)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Linear-Quadratic Mean Field Games (2015)Optimal Learning Before Choice (2016)Solving high-dimensional Hamilton–Jacobi–Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (2021)
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References

  • 2007Mean field games2,638 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2013Mean Field Games and Mean Field Type Control Theory761 cited
  • 2010Mean Field Games and Applications589 cited
  • 2005Computational Methods for Option Pricing376 cited
  • 2010A Maximum Principle for SDEs of Mean-Field Type330 cited
  • 2012Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE254 cited
  • 2015Mean Field Games and systemic risk244 cited
  • 2012Control of McKean–Vlasov dynamics versus mean field games238 cited
  • 2014The Master equation in mean field theory138 cited
  • 2014The Master Equation for Large Population Equilibriums116 cited
  • 2013Large Deviations for a Mean Field Model of Systemic Risk107 cited
  • 2014Bertrand and Cournot Mean Field Games96 cited
  • 2015Nonlinear Lévy processes and their characteristics77 cited
  • 2005Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Frontiers in Applied Mathematics 30)70 cited
  • 2014Dynamic programming for mean-field type control

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