Zobrazeno 1 - 10
of 206
pro vyhledávání: '"Buckdahn, Rainer"'
We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also on the joint law of them. The value function $V$ defined in a convent
Externí odkaz:
http://arxiv.org/abs/2408.08046
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (SDE) as dynamics and a controlled backward SDE which defines the cost f
Externí odkaz:
http://arxiv.org/abs/2404.06826
In the present paper we discuss a new type of mean-field coupled forward-backward stochastic differential equations (MFFBSDEs). The novelty consists in the fact that the coefficients of both the forward as well as the backward SDEs depend not only on
Externí odkaz:
http://arxiv.org/abs/2307.14148
Our work is devoted to the study of Pontryagin's stochastic maximum principle for a mean-field optimal control problem under Peng's $G$-expectation. The dynamics of the controlled state process is given by a stochastic differential equation driven by
Externí odkaz:
http://arxiv.org/abs/2211.04671
In this paper we investigate mean-field backward doubly stochastic differential equations (BDSDEs), i.e., BDSDEs whose driving coefficients also depend on the joint law of the solution process as well as the solution of an associated mean-field forwa
Externí odkaz:
http://arxiv.org/abs/2111.00759
In this paper we consider a class of {\it conditional McKean-Vlasov SDEs} (CMVSDE for short). Such an SDE can be considered as an extended version of McKean-Vlasov SDEs with common noises, as well as the general version of the so-called {\it conditio
Externí odkaz:
http://arxiv.org/abs/2108.03425
In this paper, given any random variable $\xi$ defined over a probability space $(\Omega,\mathcal{F},Q)$, we focus on the study of the derivative of functions of the form $L\mapsto F_Q(L):=f\big((LQ)_{\xi}\big),$ defined over the convex cone of densi
Externí odkaz:
http://arxiv.org/abs/2010.01507
Publikováno v:
In Journal of Differential Equations 5 December 2023 375:1-81
In [4], the existence of the solution is proved for a scalar linearly growing backward stochastic differential equation (BSDE) if the terminal value is $L\exp{\left(\mu \sqrt{2\log{(1+L)}}\,\right)}$-integrable with the positive parameter $\mu$ being
Externí odkaz:
http://arxiv.org/abs/1805.06246