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Linear Quadratic Mean Field Social Optimization: Asymptotic Solvability and Decentralized Control
16 references·0 citing·33 second hop
Linear Quadratic Mean Field Social Optimization: Asymptotic Solvability and Decentralized Control (2021)Linear Quadratic Mean Field Social Optimi…Probabilistic Theory of Mean Field Games with Applications II (2018)Probabilistic Theory of Mean …Probabilistic Theory of Mean Field Games with Applications I (2018)Probabilistic Theory of Mean …Mean Field Games Models—A Brief Survey (2013)Mean Field Games Models—A Bri…Mean Field Games and Mean Field Type Control Theory (2013)Mean Field Games and Mean Fie…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 …Continuous-time Stochastic Control and Optimization with Financial Applications (2009)Continuous-time Stochastic Co…Mean field games (2007)Mean field gamesLarge-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Large-Population Cost-Coupled…Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Large population stochastic d…Fair Division and Collective Welfare (2003)Fair Division and Collective …Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Stochastic Linear Quadratic R…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Stochastic Controls (1999)Stochastic ControlsStochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic R…Solutions manual for Microeconomic theory : Mas-Colell, Whinston and Green (1997)Solutions manual for Microeco…The viscosity solutions approach to stochastic control problems (2009)Optimal high-frequency trading with limit and market orders (2012)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)Dynamic noncooperative game theory (1995)The Theory of Learning in Games (1998)The Economy as an Evolving Complex System II (2018)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Dynamic Noncooperative Game Theory (1982)Evolution and the Theory of Games (1982)Evolution and the Theory of Games (1988)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)The Combinatorial Assignment Problem: Approximate Competitive Equilibrium from Equal Incomes (2011)The Unreasonable Fairness of Maximum Nash Welfare (2016)Towards a Genuine Economic and Monetary Union (2016)The Theory of Incentives: The Principal-Agent Model (2001)Information and the Change in the Paradigm in Economics (2002)Multiagent systems: algorithmic, game-theoretic, and logical foundations (2009)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)A Machine Learning Framework for Solving High-Dimensional Mean Field Game and Mean Field Control Problems (2019)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)Well-posedness of distribution dependent SDEs with singular drifts (2021)Linear-Quadratic Mean Field Games (2015)The Master Equation and the Convergence Problem in Mean Field Games (2019)
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References

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  • 2009Continuous-time Stochastic Control and Optimization with Financial Applications1,070 cited
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  • 2010A Maximum Principle for SDEs of Mean-Field Type

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346 cited
  • 2000Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II341 cited
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