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Mean-Field stochastic Linear Quadratic optimal control problems: Open-loop solvabilities
16 references·3 citing·28 second hop
Mean-Field stochastic Linear Quadratic optimal control problems: Open-loop solvabilities (2016)Mean-Field stochastic Linear Quadratic op…A linear-quadratic optimal control problem for mean-field stochastic differential equations in infinite horizon (2015)A linear-quadratic optimal co…Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points (2014)Linear Quadratic Stochastic D…Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Linear-Quadratic Optimal Cont…A mean-field stochastic maximum principle via Malliavin calculus (2012)A mean-field stochastic maxim…A General Stochastic Maximum Principle for SDEs of Mean-field Type (2011)A General Stochastic Maximum …A Maximum Principle for SDEs of Mean-Field Type (2010)A Maximum Principle for SDEs …Mean-field backward stochastic differential equations: A limit approach (2009)Mean-field backward stochasti…Mean-field backward stochastic differential equations and related partial differential equations (2009)Mean-field backward stochasti…Approximate McKean–Vlasov representations for a class of SPDEs (2009)Approximate McKean–Vlasov rep…Macroscopic limits for stochastic partial differential equations of McKean–Vlasov type (2008)Macroscopic limits for stocha…Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Large population stochastic d…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…A semilinear Mckean-Vlasov stochastic evolution equation in Hilbert space (1995)A semilinear Mckean-Vlasov st…McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets (1992)McKean-Vlasov Ito-Skorohod eq…On the McKean‐Vlasov Limit for Interacting Diffusions (1988)On the McKean‐Vlasov Limit fo…Mean-field linear-quadratic stochastic differential games in an infinite horizon (2021)Mean-field linear-quadratic s…Indefinite mean-field type linear–quadratic stochastic optimal control problems (2020)Indefinite mean-field type li…A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems (2018)A Weak Martingale Approach to…Adapted solution of a backward stochastic differential equation (1990)Continuous Martingales and Brownian Motion (1999)Mean field games (2007)Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)A probabilistic weak formulation of mean field games and applications (2015)Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Stochastic Differential Equations and Diffusion Processes (1983)Brownian Motion and Stochastic Calculus (2007)Dynamic Noncooperative Game Theory (1982)The Theory of Learning in Games (1998)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)Mean Field Games Models—A Brief Survey (2013)The Malliavin Calculus and Related Topics (2006)Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps (2009)Stochastic maximum principle in the mean-field controls (2011)Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)A stochastic particle method for the McKean-Vlasov and the Burgers equation (1997)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Mean field forward-backward stochastic differential equations (2013)Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics (2017)Mean-field stochastic differential equations and associated PDEs (2017)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
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References

  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
  • 1999Stochastic Controls1,243 cited
  • 2009Mean-field backward stochastic differential equations and related partial differential equations342 cited
  • 2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations333 cited
  • 2010A Maximum Principle for SDEs of Mean-Field Type330 cited
  • 2009Mean-field backward stochastic differential equations: A limit approach324 cited
  • 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type281 cited
  • 1988On the McKean‐Vlasov Limit for Interacting Diffusions235 cited
  • 2012A mean-field stochastic maximum principle via Malliavin calculus155 cited
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  • 1992McKean-Vlasov Ito-Skorohod equations, and nonlinear diffusions with discrete jump sets115 cited
  • 2014Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points107 cited
  • 2009Approximate McKean–Vlasov representations for a class of SPDEs100 cited

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  • 1995A semilinear Mckean-Vlasov stochastic evolution equation in Hilbert space72 cited
  • 2008Macroscopic limits for stochastic partial differential equations of McKean–Vlasov type65 cited
  • Cited by

    • 2020Indefinite mean-field type linear–quadratic stochastic optimal control problems34 cited
    • 2018A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems29 cited
    • 2021Mean-field linear-quadratic stochastic differential games in an infinite horizon25 cited