Cover Image

Mean-field games with unbounded controls: a weak formulation approach to global solutions

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Horst, Ulrich, Sato, Takashi
Format:	Preprint
Published:	2026
Subjects:	Optimization and Control Probability Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Extended mean-field games with multi-dimensional singular controls and non-linear jump impact
by: Denkert, Robert, et al.
Published: (2024)

Robust mean-field control under common noise uncertainty
by: Laurière, Mathieu, et al.
Published: (2025)

Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noise
by: Ferrari, Giorgio, et al.
Published: (2025)

Large Banks and Systemic Risk: Insights from a Mean-Field Game Model
by: Chang, Yuanyuan, et al.
Published: (2023)

Non-concave stochastic optimal control in finite discrete time under model uncertainty
by: Neufeld, Ariel, et al.
Published: (2024)

An optimal transport foundation for a class of dynamically consistent risk measures
by: Fuhrmann, Sven, et al.
Published: (2026)

Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
by: Alonso-Garcia, Jennifer, et al.
Published: (2026)

Optimal Consumption and Portfolio Choice with No-Borrowing Constraint in the Kim-Omberg Model: The Complete Market Case
by: Ferrari, Giorgio, et al.
Published: (2026)

Dimension Reduction in Martingale Optimal Transport: Geometry and Robust Option Pricing
by: Hiew, Joshua Zoen-Git, et al.
Published: (2023)

General duality and dual attainment for adapted transport
by: Kršek, Daniel, et al.
Published: (2024)

Sensitivity of robust optimization problems under drift and volatility uncertainty
by: Bartl, Daniel, et al.
Published: (2023)

Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
by: Guo, Ivan, et al.
Published: (2025)

A System of BSDEs with Singular Terminal Values Arising in Optimal Liquidation with Regime Switching
by: Fu, Guanxing, et al.
Published: (2024)

Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
by: Neufeld, Ariel, et al.
Published: (2024)

Strategies with minimal norm are optimal for expected utility maximization under high model ambiguity
by: Carassus, Laurence, et al.
Published: (2023)

Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
by: Chen, Kexin, et al.
Published: (2024)

European Options in Market Models with Multiple Defaults: the BSDE approach
by: Grigorova, Miryana, et al.
Published: (2026)

A mean field game approach to equilibrium consumption under external habit formation
by: Bo, Lijun, et al.
Published: (2022)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
by: Ren, Xin Yue, et al.
Published: (2024)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
by: Liu, Hanchao, et al.
Published: (2023)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)

Robust Hedging of path-dependent options using a min-max algorithm
by: Banerjee, Purba, et al.
Published: (2025)

Dual Attainment in Multi-Period Multi-Asset Martingale Optimal Transport and Its Computation
by: Che, Charlie, et al.
Published: (2026)

Optimal mean-variance portfolio selection under regime-switching-induced stock price shocks
by: Shi, Xiaomin, et al.
Published: (2025)

Scaling Limits for Exponential Hedging in the Brownian Framework
by: Dolinksy, Yan, et al.
Published: (2025)

Convolution Bounds on Quantile Aggregation
by: Blanchet, Jose, et al.
Published: (2020)

Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
by: Choulli, Tahir, et al.
Published: (2024)

The geometry of financial institutions -- Wasserstein clustering of financial data
by: Riess, Lorenz, et al.
Published: (2023)

Mean-field games of optimal stopping: master equation and weak equilibria
by: Possamaï, Dylan, et al.
Published: (2023)

Polynomial time algorithm for optimal stopping with fixed accuracy
by: Goldberg, David A., et al.
Published: (2018)

Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
by: Shi, Xiaomin, et al.
Published: (2024)

Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
by: Ackermann, Julia, et al.
Published: (2025)

Here, there and everywhere: state-dependent time-inconsistent stochastic control
by: Possamaï, Dylan, et al.
Published: (2026)

Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
by: Guan, Guohui, et al.
Published: (2024)

Coordinated Mean-Field Control for Systemic Risk
by: Yamanaka, Toshiaki
Published: (2025)

Deep Galerkin Method for Mean Field Control Problem
by: Sun, Jingruo
Published: (2022)

Stationary Discounted and Ergodic Mean Field Games of Singular Control
by: Cao, Haoyang, et al.
Published: (2021)

Extended HJB Equation for Mean-Variance Stopping Problem: Vanishing Regularization Method
by: Dong, Yuchao, et al.
Published: (2025)

Bid--Ask Martingale Optimal Transport
by: Liang, Bryan, et al.
Published: (2026)

A Mean Field Game Approach to Relative Investment-Consumption Games with Habit Formation
by: Liang, Zongxia, et al.
Published: (2024)