Infinite Time Horizon Optimal Control of McKean-Vlasov SDEs
Fuente:
arXiv
Saved in:
| Main Author: | Rudà, Silvia |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Ergodic control of McKean-Vlasov systems on the Wasserstein space
by: Fuhrman, Marco, et al.
Published: (2025)
by: Fuhrman, Marco, et al.
Published: (2025)
Transposition Approach to Optimal Control of McKean-Vlasov SPDEs
by: Chen, Liangying, et al.
Published: (2026)
by: Chen, Liangying, et al.
Published: (2026)
McKean-Vlasov forward-backward doubly stochastic differential equations and applications to stochastic control
by: Al-Hussein, AbdulRahman, et al.
Published: (2024)
by: Al-Hussein, AbdulRahman, et al.
Published: (2024)
Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
by: Hambly, Ben, et al.
Published: (2023)
by: Hambly, Ben, et al.
Published: (2023)
Optimal control, viscosity approximation and Arrhenius Law for the shallow lake problem
by: Koutsimpela, Angeliki, et al.
Published: (2024)
by: Koutsimpela, Angeliki, et al.
Published: (2024)
A Novel Approach to Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations
by: Spille, Johan Benedikt, et al.
Published: (2026)
by: Spille, Johan Benedikt, et al.
Published: (2026)
G-BSDEs with non-Lipschitz coefficients and the corresponding stochastic recursive optimal control problem
by: He, Wei, et al.
Published: (2025)
by: He, Wei, et al.
Published: (2025)
Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications
by: Tang, Shanjian, et al.
Published: (2024)
by: Tang, Shanjian, et al.
Published: (2024)
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)
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)
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional in Infinite Horizon
by: Li, Lin, et al.
Published: (2026)
by: Li, Lin, et al.
Published: (2026)
Partially observed controlled Markov chains and optimal control of the Wonham filter
by: Confortola, Fulvia, et al.
Published: (2026)
by: Confortola, Fulvia, et al.
Published: (2026)
A description based on optimal transport for a class of stochastic McKean-Vlasov control problems
by: De Vecchi, Francesco C., et al.
Published: (2024)
by: De Vecchi, Francesco C., et al.
Published: (2024)
A measure-valued HJB perspective on Bayesian optimal adaptive control
by: Cox, Alexander M. G., et al.
Published: (2025)
by: Cox, Alexander M. G., et al.
Published: (2025)
Optimal Control of Unbounded Functional Stochastic Evolution Systems in Hilbert Spaces: Second-Order Path-dependent HJB Equation
by: Tang, Shanjian, et al.
Published: (2024)
by: Tang, Shanjian, et al.
Published: (2024)
Optimal Control of McKean-Vlasov equations with controlled stochasticity
by: Di Persio, Luca, et al.
Published: (2023)
by: Di Persio, Luca, et al.
Published: (2023)
Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
by: Horst, Ulrich, et al.
Published: (2025)
by: Horst, Ulrich, et al.
Published: (2025)
Path integral control under McKean-Vlasov dynamics
by: Bennett, Timothy
Published: (2024)
by: Bennett, Timothy
Published: (2024)
A Decomposition Method for LQ Conditional McKean-Vlasov Control Problems with Random Coefficients
by: Hounkpe, Onésime, et al.
Published: (2026)
by: Hounkpe, Onésime, et al.
Published: (2026)
Stochastic Optimal Linear Quadratic Controls with A Recursive Cost Functional
by: Li, Lin, et al.
Published: (2026)
by: Li, Lin, et al.
Published: (2026)
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)
Stochastic Singular Linear Systems and Related Linear-Quadratic Optimal Control Problems under Finite and Infinite Horizons
by: Li, Mengzhen, et al.
Published: (2024)
by: Li, Mengzhen, et al.
Published: (2024)
Beyond separability: convergence rate of vanishing viscosity approximations to mean field games via FBSDE stability
by: Yu, Winston, et al.
Published: (2025)
by: Yu, Winston, et al.
Published: (2025)
Infinite time horizon stochastic recursive control problems with jumps: dynamic programming and stochastic verification theorems
by: Luo, Sheng, et al.
Published: (2024)
by: Luo, Sheng, et al.
Published: (2024)
Linear-Quadratic Optimal Control for Mean-Field Stochastic Differential Equations in Infinite-Horizon with Regime Switching
by: Mei, Hongwei, et al.
Published: (2025)
by: Mei, Hongwei, et al.
Published: (2025)
McKean-Vlasov equations with rough common noise
by: Friz, Peter K., et al.
Published: (2025)
by: Friz, Peter K., et al.
Published: (2025)
Extended Dynamic Programming Principle and Applications to Time-Inconsistent Control
by: Xu, Yuhong, et al.
Published: (2022)
by: Xu, Yuhong, et al.
Published: (2022)
Stochastic Optimal Impulse Controls with Changing Running Costs
by: Cao, Yuchen, et al.
Published: (2025)
by: Cao, Yuchen, et al.
Published: (2025)
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)
The mean-field control problem for heterogeneous forward-backward systems
by: Sojmark, Andreas, et al.
Published: (2026)
by: Sojmark, Andreas, et al.
Published: (2026)
Polynomial McKean-Vlasov SDEs
by: Cuchiero, Christa, et al.
Published: (2025)
by: Cuchiero, Christa, et al.
Published: (2025)
The randomization method in stochastic optimal control
by: Fuhrman, Marco
Published: (2025)
by: Fuhrman, Marco
Published: (2025)
Stochastic internal habit formation and optimality
by: Aleandri, Michele, et al.
Published: (2025)
by: Aleandri, Michele, et al.
Published: (2025)
Maximum Principles for Partially Observed Controls of Forward SPDEs and Backward SDEs with Jumps
by: Qian, Hongjiang, et al.
Published: (2026)
by: Qian, Hongjiang, et al.
Published: (2026)
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)
Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems
by: de Feo, Filippo
Published: (2023)
by: de Feo, Filippo
Published: (2023)
MP and DPP for Mean-Variance Portfolio Selection Problem with Poisson Jumps, Recursive Utility and Their Relationship
by: Zhang, Qiyue, et al.
Published: (2025)
by: Zhang, Qiyue, et al.
Published: (2025)
Optimal control of heterogeneous mean-field stochastic differential equations with common noise and applications to financial models
by: de Feo, Filippo, et al.
Published: (2025)
by: de Feo, Filippo, et al.
Published: (2025)
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)
Stochastic Control Problems Motivated by Sailboat Trajectory Optimization
by: Ciccarella, Carlo, et al.
Published: (2024)
by: Ciccarella, Carlo, et al.
Published: (2024)
Similar Items
-
Ergodic control of McKean-Vlasov systems on the Wasserstein space
by: Fuhrman, Marco, et al.
Published: (2025) -
Transposition Approach to Optimal Control of McKean-Vlasov SPDEs
by: Chen, Liangying, et al.
Published: (2026) -
McKean-Vlasov forward-backward doubly stochastic differential equations and applications to stochastic control
by: Al-Hussein, AbdulRahman, et al.
Published: (2024) -
Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
by: Hambly, Ben, et al.
Published: (2023) -
Optimal control, viscosity approximation and Arrhenius Law for the shallow lake problem
by: Koutsimpela, Angeliki, et al.
Published: (2024)