This article studies singular mean field control problems and singular mean field two-players stochastic differential games. Both sufficient and necessary ... Y Hu,?ksendal, Bernt,A Sulem - 《Stochastic Analysis & Applications》 被引量: 2发表: 2017年 Competition versus Cooperation: A Class of Sol...
Furthermore, these control laws possess an epsilon(N)-Nash equilibrium property where epsilon(N) goes to zero as the population size goes to infinity. Finally, the analysis is extended to the case of random mean field couplings. In the social cooperative formulation the basic objective is to ...
the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its resultsto the analysis of stochastic mean field control ...
We study optimal control for mean-field forward–backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As an illustration, we solve an optimal portfolio with mean-field...
Mathematics - Optimization and ControlWe study optimal control for mean-field forward backward stochastic differential equations with payoff functionals of mean-field type. Sufficient and necessary optimality conditions in terms of a stochastic maximum principle are derived. As an illustration, we solve ...
Chapter 2 presents a description of general mean field control problems. Some general settings and notations are given. The definition of the mean field game and mean field type control problems are also presented. In Chapter 3, the authors present the HJB-FP equations and stochastic maximum ...
This technical note is concerned with a partially observed optimal control problem, whose novel feature is that the cost functional is of mean-field type. Hence determining the optimal control is time inconsistent in the sense that Bellman's dynamic programming principle does not hold. A maximum ...
amachinelearningframeworkforsolvinghigh-dimensionalmeanfieldgame 系统标签: meandimensionalsolvingproblemsmachineframework APPLIEDMATHEMATICSAmachinelearningframeworkforsolvinghigh-dimensionalmeanfieldgameandmeanfieldcontrolproblemsLarsRuthottoa,b,1,StanleyJ.Osherc,1,WuchenLic,LevonNurbekyanc,andSamyWuFungcaDepartmen...
existence of equilibria in mean field games with diffusion control and common noise is proved in [2] using a relaxed formulation of the problem and the theory of second order BSDEs. Other contributions consider mean field games with diffusion control, such as [8] in a Principal-Agent setting...
The second-order mean field games system (MFGS) in a bounded domain with the lateral Cauchy data are considered. This means that both Dirichlet and Neumann boundary data for the solution of the MFGS are given. Two Hölder stability estimates for two sl