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Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective
15 references·9 citing·30 second hopsampled
Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective (2019)Extended Mean Field Control Problems: Sto…Mean field game of controls and an application to trade crowding (2017)Mean field game of controls a…Limit Theory for Controlled McKean--Vlasov Dynamics (2017)Limit Theory for Controlled M…Bellman equation and viscosity solutions for mean-field stochastic control problem (2017)Bellman equation and viscosit…Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource (2016)Linear Quadratic Mean Field T…Incorporating order-flow into optimal execution (2016)Incorporating order-flow into…Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Forward–backward stochastic d…A probabilistic weak formulation of mean field games and applications (2015)A probabilistic weak formulat…Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Linear-Quadratic Optimal Cont…Control of McKean–Vlasov dynamics versus mean field games (2012)Control of McKean–Vlasov dyna…A mean-field stochastic maximum principle via Malliavin calculus (2012)A mean-field stochastic maxim…A Distance For Multistage Stochastic Optimization Models (2012)A Distance For Multistage Sto…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…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension (2023)Optimal control of path-depen…Linear quadratic leader–follower stochastic differential games for mean-field switching diffusions (2023)Linear quadratic leader–follo…McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations (2022)McKean–Vlasov Optimal Control…Extended mean field control problem: a propagation of chaos result (2022)Extended mean field control p…Estimating processes in adapted Wasserstein distance (2022)Estimating processes in adapt…Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls (2022)Convergence of Large Populati…All adapted topologies are equal (2020)All adapted topologies are eq…Schauder Estimates for a Class of Potential Mean Field Games of Controls (2019)Schauder Estimates for a Clas…Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization (2019)Causal optimal transport and …Adapted solution of a backward stochastic differential equation (1990)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Mean field games (2007)The Master Equation and the Convergence Problem in Mean Field Games (2019)Continuous Martingales and Brownian Motion (1999)Discrete time mean-field stochastic linear-quadratic optimal control problems (2013)Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Stochastic controls : Hamiltonian systems and HJB equations (1999)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)Controlled Markov Processes and Viscosity Solutions (2005)Mean field games with common noise (2016)Backward Stochastic Differential Equations in Finance (1997)A general characterization of the mean field limit for stochastic differential games (2015)On the connection between symmetric $N$-player games and mean field games (2017)A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria (2022)The Theory of Learning in Games (1998)A Machine Learning Framework for Solving High-Dimensional Mean Field Game and Mean Field Control Problems (2019)Mean field and n‐agent games for optimal investment under relative performance criteria (2019)Operational Research: methods and applications (2023)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)
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References

  • 2001Optimal execution of portfolio transactions1,598 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
  • 2015Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics244 cited
  • 2012Control of McKean–Vlasov dynamics versus mean field games238 cited
  • 2017Mean field game of controls and an application to trade crowding212 cited
  • 2015A probabilistic weak formulation of mean field games and applications178 cited
  • 2012A mean-field stochastic maximum principle via Malliavin calculus155 cited
  • 2017Limit Theory for Controlled McKean--Vlasov Dynamics139 cited
  • 2016Incorporating order-flow into optimal execution134 cited
  • 2012A Distance For Multistage Stochastic Optimization Models134 cited
  • 2017Bellman equation and viscosity solutions for mean-field stochastic control problem118 cited
  • 2016Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource

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70 cited

Cited by

  • 2020All adapted topologies are equal53 cited
  • 2022Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls50 cited
  • 2022McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations46 cited
  • 2019Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization42 cited
  • 2019Schauder Estimates for a Class of Potential Mean Field Games of Controls33 cited
  • 2022Extended mean field control problem: a propagation of chaos result31 cited
  • 2023Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension31 cited
  • 2022Estimating processes in adapted Wasserstein distance30 cited
  • 2023Linear quadratic leader–follower stochastic differential games for mean-field switching diffusions24 cited