Related papers: Optimal control and zero-sum stochastic differenti…

This paper considers the problem of two-player zero-sum stochastic differential game with both players adopting impulse controls in finite horizon under rather weak assumptions on the cost functions ($c$ and $\chi$ not decreasing in time).…

In a mean field game of controls, players seek to minimize a cost that depends on the joint distribution of players' states and controls. We consider an ergodic problem for second-order mean field games of controls with state constraints,…

Stochastic optimal control and games have a wide range of applications, from finance and economics to social sciences, robotics, and energy management. Many real-world applications involve complex models that have driven the development of…

This paper is concerned with the partial information optimal control problem of mean-field type under partial observation, where the system is given by a controlled mean-field forward-backward stochastic differential equation with…

In the paper, we use the equivalent formulation of a finite state mean field game as a control problem with mixed constraints to study the dependence of solutions to finite state mean field game on an initial distribution of players. We…

This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal stopping (Dynkin) game. Sufficient conditions for the game's…

We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…

Optimal control of heterogeneous mean-field stochastic differential equations with common noise has not been addressed in the literature. In this work, we initiate the study of such models. We formulate the problem within a linear-quadratic…

In this study, we consider an optimal control problem driven by a stochastic differential system with a stopping time terminal cost functional. We establish the stochastic maximum principle for this new kind of an optimal control problem by…

This paper is concerned with non-zero sum differential games of mean-field stochastic differential equations with partial information and convex control domain. First, applying the classical convex variations, we obtain stochastic maximum…

We shall consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equations of the following type: d x(t) = (A(t) x(t) + a (t, u(t)) x(t) + b(t, u(t)) dt +…

Motivated by continuous-time optimal inventory management, we study a class of stationary mean-field control problems with singular controls. The dynamics are modeled by a mean-reverting Ornstein-Uhlenbeck process, and the performance…

This paper considers the problem of partially observed optimal control for forward stochastic systems which are driven by Brownian motions and an independent Poisson random measure with a feature that the cost functional is of mean-field…

This paper focuses on stochastic saddle point problems with decision-dependent distributions. These are problems whose objective is the expected value of a stochastic payoff function and whose data distribution drifts in response to…

We consider discrete time partially observable zero-sum stochastic game with average payoff criterion. We study the game using an equivalent completely observable game. We show that the game has a value and also we come up with a pair of…

Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop…

A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes…

This paper is devoted to a class of finite horizon deterministic mean field games with Grushin type dynamics, state constraints and nonlocal coupling. First, we consider the optimal control problem that each agent aims to solve when the…

We analyze a zero-sum stochastic differential game between two competing players who can choose unbounded controls. The payoffs of the game are defined through backward stochastic differential equations. We prove that each player's priority…

We consider a stochastic differential game in the context of forward-backward stochastic differential equations, where one player implements an impulse control while the opponent controls the system continuously. Utilizing the notion of…