Related papers: Systemic robustness: a mean-field particle system …
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
We consider the problem of parameter estimation for a stochastic McKean-Vlasov equation, and the associated system of weakly interacting particles. We study two cases: one in which we observe multiple independent trajectories of the…
We study interacting particle systems driven by noise, modeling phenomena such as opinion dynamics. We are interested in systems that exhibit phase transitions i.e. non-uniqueness of stationary states for the corresponding McKean-Vlasov…
In this paper, we study the stability of solutions of stochastic McKean-Vlasov equations (SMVEs) via feedback control based on discrete-time state observation. By using a specific Lyapunov function, the $H_{\infty}$ stability, asymptotic…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
We consider a discrete-time system of n coupled random vectors, a.k.a. interacting particles. The dynamics involve a vanishing step size, some random centered perturbations, and a mean vector field which induces the coupling between the…
This paper introduces a new approach of treating platoon systems using mean-variance control formulation. The underlying system is a controlled switching diffusion in which the random switching process is a continuous-time Markov chain.…
In this article, we study an interacting particle system in the context of epidemiology where the individuals (particles) are characterized by their position and infection state. We begin with a description at the microscopic level where…
We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control. By using feedback controls, we reformulate the problem into…
We establish an algebraic rate of convergence in the large number of players limit of the value functions of N-particle stochastic control problems towards the value function of the corresponding McKean-Vlasov problem also known as mean…
Following Kolokoltsov's work [1], we present an extension of mean-field control theory in quantum framework. In particular such an extension is done naturally by considering the Belavkin quantum filtering and control theory in a mean-field…
We study the large-time behavior of an ensemble of entities obeying replicator-like stochastic dynamics with mean-field interactions as a model for a primordial ecology. We prove the propagation-of-chaos property and establish conditions…
Many complex systems share two characteristics: 1) they are stochastic in nature, and 2) they are characterized by a large number of factors. At the same time, various natural complex systems appear to have two types of intertwined…
In this paper we are interested in a new type of {\it mean-field}, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths…
Systems of stochastic particles evolving in a multi-well energy landscape and attracted to their barycenter is the prototypical example of mean-field process undergoing phase transitions: at low temperature, the corresponding mean-field…
In this paper, we first establish well-posedness results for one-dimensional McKean-Vlasov stochastic differential equations (SDEs) and related particle systems with a measure-dependent drift coefficient that is discontinuous in the spatial…
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that…
We analyze the mean-field limit of a stochastic Schr{\"o}dinger equation arising in quantum optimal control and mean-field games, where N interacting particles undergo continuous indirect measurement. For the open quantum system described…
This paper develops a statistical framework for goodness-of-fit testing of volatility functions in McKean-Vlasov stochastic differential equations, which describe large systems of interacting particles with distribution-dependent dynamics.…
For algorithms based on interacting particle systems that admit a mean-field description, convergence analysis is often more accessible at the mean-field level. In order to transfer convergence results obtained at the mean-field level to…