Related papers: On time-inconsistent extended mean-field control p…
Piecewise constant control approximation provides a practical framework for designing numerical schemes of continuous-time control problems. We analyze the accuracy of such approximations for extended mean field control (MFC) problems,…
This paper studies mean-field control problems with state-control joint law dependence and Poissonian common noise. We develop the stochastic maximum principle (SMP) and establish its connection to the Hamiltonian-Jacobi-Bellman (HJB)…
We investigate convergence and turnpike properties for linear-quadratic mean field control problems with common noise. Within a unified framework, we analyze a finite-horizon social optimization problem, its mean field control limit, and…
This paper develops a framework for establishing the existence of solutions to the equilibrium Hamilton-Jacobi-Bellman (EHJB) equation arising in time-inconsistent stochastic control problems. The time-inconsistency in our setting arises…
This paper studies optimal control and stabilization problems for continuous-time mean-field systems with input delay, which are the fundamental development of control and stabilization problems for mean-field systems. There are two main…
In this paper we study a class of HJB equations which solve for equilibria for general time-inconsistent deterministic linear quadratic control problems within the intra-personal game theoretic framework, where the inconsistency arises from…
In this paper, the finite horizon asymmetric information linear quadratic (LQ) control problem is investigated for a discrete-time mean field system. Different from previous works, multiple controllers with different information sets are…
In the presence of a common noise, we study the convergence problems in mean field game (MFG) and mean field control (MFC) problem where the cost function and the state dynamics depend upon the joint conditional distribution of the…
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field control problem can be approximates by time consistent…
We investigate the global numerical approximation of a class of extended mean field control problems (MFC), where the dynamics and costs depend on the joint distribution of the state and the control. We propose a framework to approximate…
This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where the diffusion term of the dynamic of each agent can depend on the state and…
We study a time-inconsistent singular control problem originating from irreversible reinsurance decisions with non-exponential discount. A novel definition of equilibrium for time-inconsistent singular control problems is introduced. For…
This paper studies linear quadratic Gaussian robust mean field social control problems in the presence of multiplicative noise. We aim to compute asymptotic decentralized strategies without requiring full prior knowledge of agents'…
This paper investigates an indefinite linear-quadratic partially observed mean-field game with common noise, incorporating both state-average and control-average effects. In our model, each agent's state is observed through both individual…
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium…
This paper is concerned with uniform stabilization and social optimality for general mean field linear quadratic control systems, where subsystems are coupled via individual dynamics and costs, and the state weight is not assumed with the…
An optimal control problem is considered for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is…
This paper discusses the discrete-time mean-field stochastic linear quadratic optimal control problems, whose weighting matrices in the cost functional are not assumed to be definite. The open-loop solvability is characterized by the…
In this paper, we investigate a class of time-inconsistent discrete-time stochastic linear-quadratic optimal control problems, whose time-consistent solutions consist of an open-loop equilibrium control and a linear feedback equilibrium…
We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of…