Controlled Diffusions under Full, Partial and Decentralized Information: Existence of Optimal Policies and Discrete-Time Approximations
Fuente:
arXiv
Saved in:
| Main Authors: | Pradhan, Somnath, Yüksel, Serdar |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov Diffusions and Interacting Particle Systems
by: Pradhan, Somnath, et al.
Published: (2025)
by: Pradhan, Somnath, et al.
Published: (2025)
Near Optimality of Lipschitz and Smooth Policies in Controlled Diffusions
by: Pradhan, Somnath, et al.
Published: (2024)
by: Pradhan, Somnath, et al.
Published: (2024)
Decentralized Strategies for Backward Linear-Quadratic Mean Field Games and Teams
by: Si, Yu, et al.
Published: (2025)
by: Si, Yu, et al.
Published: (2025)
Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
by: Anita, Stefana-Lucia, et al.
Published: (2025)
by: Anita, Stefana-Lucia, et al.
Published: (2025)
Linear-Quadratic Partially Observed Mean Field Stackelberg Stochastic Differential Game with Applications
by: Si, Yu, et al.
Published: (2025)
by: Si, Yu, et al.
Published: (2025)
Linear-Quadratic Mean Field Stackelberg Stochastic Differential Game with Partial Information and Common Noise
by: Si, Yu, et al.
Published: (2024)
by: Si, Yu, et al.
Published: (2024)
Linear-Quadratic Stackelberg Mean Field Games and Teams with Arbitrary Population Sizes
by: Cong, Wenyu, et al.
Published: (2024)
by: Cong, Wenyu, et al.
Published: (2024)
Direct Approach of Linear-Quadratic Stackelberg Mean Field Games of Backward-Forward Stochastic Systems
by: Cong, Wenyu, et al.
Published: (2024)
by: Cong, Wenyu, et al.
Published: (2024)
Linear-Quadratic Mean Field Games with Common Noise: A Direct Approach
by: Cong, Wenyu, et al.
Published: (2025)
by: Cong, Wenyu, et al.
Published: (2025)
Backward Linear-Quadratic Mean Field Stochastic Differential Games: A Direct Method
by: Si, Yu, et al.
Published: (2024)
by: Si, Yu, et al.
Published: (2024)
General Linear-Quadratic Mean Field Stochastic Differential Game with Common Noise: A Direct Method
by: Si, Yu, et al.
Published: (2025)
by: Si, Yu, et al.
Published: (2025)
An overlapping information linear-quadratic Stackelberg stochastic differential game with two leaders and two followers
by: Si, Yu, et al.
Published: (2024)
by: Si, Yu, et al.
Published: (2024)
Direct Approach of Indefinite Linear-Quadratic Mean Field Games
by: Cong, Wenyu, et al.
Published: (2024)
by: Cong, Wenyu, et al.
Published: (2024)
Stochastic Linear-Quadratic Optimal Control Problems with Markovian Regime Switching and $H_\infty$ Constraint under Partial Information
by: Xiang, Na, et al.
Published: (2026)
by: Xiang, Na, et al.
Published: (2026)
Closed-loop equilibria for Stackelberg games: a story about stochastic targets
by: Hernández, Camilo, et al.
Published: (2024)
by: Hernández, Camilo, et al.
Published: (2024)
Global Maximum Principle for Partially Observed Risk-Sensitive Progressive Optimal Control of FBSDE with Poisson Jumps
by: Lin, Jingtao, et al.
Published: (2025)
by: Lin, Jingtao, et al.
Published: (2025)
A Partially Observed Stochastic Linear Stackelberg Differential Game with Poisson Jumps under Mean-Variance Criteria
by: Lin, Jingtao, et al.
Published: (2026)
by: Lin, Jingtao, et al.
Published: (2026)
A General Maximum Principle for Progressive Optimal Control of Fully Coupled Forward-Backward Stochastic Systems with Jumps
by: Wang, Bin, et al.
Published: (2024)
by: Wang, Bin, et al.
Published: (2024)
The Schrödinger Bridge Problem for Jump Diffusions with Regime Switching
by: Zlotchevski, Andrei, et al.
Published: (2025)
by: Zlotchevski, Andrei, et al.
Published: (2025)
Quantitative convergence rates for extended mean field games with volatility control
by: Bayraktar, Erhan, et al.
Published: (2026)
by: Bayraktar, Erhan, et al.
Published: (2026)
Occasionally Observed Piecewise-deterministic Markov Processes
by: Gee, Marissa, et al.
Published: (2024)
by: Gee, Marissa, et al.
Published: (2024)
Discrete-Time Approximations of Controlled Diffusions with Infinite Horizon Discounted and Average Cost
by: Pradhan, Somnath, et al.
Published: (2025)
by: Pradhan, Somnath, et al.
Published: (2025)
A BSDE approach to the asymmetric risk-sensitive optimization and its applications
by: Hu, Mingshang, et al.
Published: (2023)
by: Hu, Mingshang, et al.
Published: (2023)
Approximate Tracking Controllability of Systems with Quadratic Nonlinearities
by: Rissel, Manuel, et al.
Published: (2025)
by: Rissel, Manuel, et al.
Published: (2025)
Partial regularity for variational integrals with Morrey-Hölder zero-order terms, and the limit exponent in Massari's regularity theorem
by: Schmidt, Thomas, et al.
Published: (2024)
by: Schmidt, Thomas, et al.
Published: (2024)
Approximations and Learning for Decentralized Stochastic Control and Near Optimal Finite Window Policies
by: Mrani-Zentar, Omar, et al.
Published: (2026)
by: Mrani-Zentar, Omar, et al.
Published: (2026)
A Stochastic Linear-Quadratic Leader-Follower Differential Game with Elephant Memory
by: Li, Xinpo, et al.
Published: (2025)
by: Li, Xinpo, et al.
Published: (2025)
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
by: Dianetti, Jodi, et al.
Published: (2024)
by: Dianetti, Jodi, et al.
Published: (2024)
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
by: Grigorian, Karen, et al.
Published: (2025)
by: Grigorian, Karen, et al.
Published: (2025)
Mean-field games with rough common noise: the linear-quadratic case
by: Friz, Peter K., et al.
Published: (2026)
by: Friz, Peter K., et al.
Published: (2026)
Linear-Quadratic Non-zero Sum Differential Game with Asymmetric Delayed Information
by: Ye, Yuxin, et al.
Published: (2025)
by: Ye, Yuxin, et al.
Published: (2025)
Global maximum principle for optimal control of stochastic Volterra equations with singular kernels: An infinite dimensional approach
by: Hamaguchi, Yushi
Published: (2025)
by: Hamaguchi, Yushi
Published: (2025)
Pontryagin Maximum Principle for McKean-Vlasov Stochastic Reaction-Diffusion Equations
by: Spille, Johan Benedikt, et al.
Published: (2025)
by: Spille, Johan Benedikt, et al.
Published: (2025)
Second-Order $Λ$-Sets and Extensions to Non-Smooth, Hybrid, and Stochastic Optimal Control
by: Rashid, Mohammad H. M
Published: (2025)
by: Rashid, Mohammad H. M
Published: (2025)
Linear-quadratic stochastic Volterra controls II: Optimal strategies and Riccati--Volterra equations
by: Hamaguchi, Yushi, et al.
Published: (2022)
by: Hamaguchi, Yushi, et al.
Published: (2022)
Infinite dimensional open-loop linear quadratic stochastic optimal control problems and related games
by: Jing, Guangdong
Published: (2024)
by: Jing, Guangdong
Published: (2024)
Agency Problems and Adversarial Bilevel Optimization under Uncertainty and Cyber Threats
by: Mastrolia, Thibaut, et al.
Published: (2025)
by: Mastrolia, Thibaut, et al.
Published: (2025)
Outrunning the Omega Clock: A Singular Control Problem for Dividend Optimisation with Ruin and Time-in-Distress Default
by: Bodnariu, Andi, et al.
Published: (2026)
by: Bodnariu, Andi, et al.
Published: (2026)
A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
by: Reisinger, Christoph, et al.
Published: (2021)
by: Reisinger, Christoph, et al.
Published: (2021)
A Linear-Quadratic Stackelberg Differential Game with Mixed Deterministic and Stochastic Controls
by: Shi, Jingtao, et al.
Published: (2020)
by: Shi, Jingtao, et al.
Published: (2020)
Similar Items
-
Near Optimality of Discrete-Time Approximations for Controlled McKean-Vlasov Diffusions and Interacting Particle Systems
by: Pradhan, Somnath, et al.
Published: (2025) -
Near Optimality of Lipschitz and Smooth Policies in Controlled Diffusions
by: Pradhan, Somnath, et al.
Published: (2024) -
Decentralized Strategies for Backward Linear-Quadratic Mean Field Games and Teams
by: Si, Yu, et al.
Published: (2025) -
Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
by: Anita, Stefana-Lucia, et al.
Published: (2025) -
Linear-Quadratic Partially Observed Mean Field Stackelberg Stochastic Differential Game with Applications
by: Si, Yu, et al.
Published: (2025)