Related papers: Long-Term Average Impulse Control with Mean Field …
Mean field games and controls involve guiding the behavior of large populations of interacting agents, where each individual's influence on the group is negligible but collectively impacts overall dynamics. Hybrid systems integrate…
In this paper we model the role of a government of a large population as a mean field optimal control problem. Such control problems are constrainted by a PDE of continuity-type, governing the dynamics of the probability distribution of the…
We consider interacting agent systems with a large number of stochastic agents (or particles) influenced by a fixed number of external stochastic lead agents. Such examples arise, for example in models of opinion dynamics, where a small…
This paper focuses on a model for opinion dynamics, where the influence weights of agents evolve in time. We formulate a control problem of consensus type, in which the objective is to drive all agents to a final target point under suitable…
We consider optimal control problems for systems governed by mean-field stochastic differential equations, where the control enters both the drift and the diffusion coefficient. We study the relaxed model, in which admissible controls are…
Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditional approaches typically focus on the interest rate changes…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
This paper investigates the social optimality of linear quadratic mean field control systems with unmodeled dynamics. The objective of agents is to optimize the social cost, which is the sum of costs of all agents. By variational analysis…
In this work we are interested in the mean-field formulation of kinetic models under control actions where the control is formulated through a model predictive control strategy (MPC) with varying horizon. The relation between the (usually…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
In this paper, we study the $extended$ mean field control problem, which is a class of McKean-Vlasov stochastic control problem where the state dynamics and the reward functions depend upon the joint (conditional) distribution of the…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…
This extended abstract presents our recent work on the leader-following consensus control for generic linear multi-agent systems. An improved dynamic event-triggered control framework are proposed, based on a moving average approach. The…
We introduce the rigorous limit process connecting finite dimensional sparse optimal control problems with ODE constraints, modeling parsimonious interventions on the dynamics of a moving population divided into leaders and followers, to an…
This study considers an optimal reinsurance, investment, and dividend strategy control problem for insurance companies in a regulated Markov regime-switching environment, intending to maximize long-run average reward. Unlike existing single…
The objective of this paper is to analyze the existence of equilibria for a class of deterministic mean field games of controls. The interaction between players is due to both a congestion term and a price function which depends on the…
One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually obviously not fulfilled in practice. On the other hand,…
We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…
Controlling large particle systems in collective dynamics by a few agents is a subject of high practical importance, e.g., in evacuation dynamics. In this paper we study an instantaneous control approach to steer an interacting particle…