相关论文: Mean-field limit for a class of stochastic ergodic…
We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be…
In this paper, we study the optimal control system driven by stochastic differential equations (SDEs) of mean-field type, in which the control variable has two components, the first being absolutely continuous and the second singular. On…
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizons. Our main contribution lies in establishing the strong…
We analyze the problem of controlling a multi-agent system with additive white noise through parsimonious interventions on a selected subset of the agents (leaders). For such a controlled system with a SDE constraint, we introduce a…
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 consider a class of $N$-player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games featuring mean-field interaction and strategic…
In this paper, we investigate an optimal control problem for McKean-Vlasov stochastic partial differential equations, in which the coefficients depend on the law of the state process. For systems with nonconvex control sets, we establish a…
In this paper, we study the optimal control of a discrete-time stochastic differential equation (SDE) of mean-field type, where the coefficients can depend on both a function of the law and the state of the process. We establish a new…
We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential game associated with payoff functionals of mean-field type,…
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,…
In this paper, we are concerned with a stochastic optimal control problem of mean-field type under partial observation, where the state equation is governed by the controlled nonlinear mean-field stochastic differential equation, moreover…
We characterize the optimal control for a class of singular stochastic control problems as the unique solution to a related Skorokhod reflection problem. The considered optimization problems concern the minimization of a discounted cost…
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…
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…
Using small noise limit approach, we study degenerate stochastic ergodic control problems and as a byproduct obtain error bounds for the $\varepsilon$-optimal controls. We also establish tunneling for a special ergodic control problem and…
This paper focuses on indefinite stochastic mean-field linear-quadratic (MF-LQ, for short) optimal control problems, which allow the weighting matrices for state and control in the cost functional to be indefinite. The solvability of…
This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process,…
We derive the explicit solutions to singular stochastic control problems of the monotone follower type with (a) an expected discounted criterion, (b) an expected ergodic criterion and (c) a pathwise ergodic criterion. These problems have…
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing regime switching governed by a Markov chain, we consider an…
In this work, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by…