Related papers: The mean-field control problem for heterogeneous f…
This paper focuses on the role of a government of a large population of interacting agents as a mean field optimal control problem derived from deterministic finite agent dynamics. The control problems are constrained by a PDE of…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryagin minimum principle involving forward-backward stochastic…
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the state process $X_t$ and its control $u_t$ but also on the…
This paper focuses on linear-quadratic (LQ for short) mean-field games described by forward-backward stochastic differential equations (FBSDEs for short), in which the individual control region is postulated to be convex. The decentralized…
This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints. Using Ekeland's variational principle, we obtain…
In this article, we provide an original systematic global-in-time analysis of mean field type control problems on $\mathbb{R}^n$ with generic cost functionals by the modified approach but not the same, firstly proposed in [7], as the…
In this paper, we consider the fully coupled forward-backward stochastic functional differential equations (FBSFDEs) with stochastic functional differential equations as the forward equations and the generalized anticipated backward…
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE in the unknown process $X(t)$ and a \emph{predictive…
We derive a framework to compute optimal controls for problems with states in the space of probability measures. Since many optimal control problems constrained by a system of ordinary differential equations (ODE) modelling interacting…
The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system. Zakai equation…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
This paper discusses the \( H_2/H_{\infty} \) control problem for continuous-time mean-field linear stochastic systems with affine terms over a finite horizon. We employ the Mean-Field Stochastic Bounded Real Lemma (MF-SBRL), which provides…
Stochastic maximum principle of nonlinear controlled forward-backward systems, where the set of strict (classical) controls need not be convex and the diffusion coefficient depends explicitly on the variable control, is an open problem…
This paper studies social optima and Nash games for mean field linear quadratic control systems, where subsystems are coupled via dynamics and individual costs. For the social control problem, we first obtain a set of forward-backward…
This paper is concerned with a backward-forward stochastic differential equation (BFSDE) system, in which a large number of negligible agents are coupled in their dynamics via state average. Here some BSDE is introduced as the dynamics of…
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…
We investigate team optimal control of stochastic subsystems that are weakly coupled in dynamics (through the mean-field of the system) and are arbitrary coupled in the cost. The controller of each subsystem observes its local state and the…
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…
In this paper, we consider optimal control of stochastic differential equations subject to an expected path constraint. The stochastic maximum principle is given for a general optimal stochastic control in terms of constrained FBSDEs. In…