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math.OC2018
Mean-field games of optimal stopping: a relaxed solution approach
Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density o…
math.OC2018
A level-set approach for stochastic optimal control problems under controlled-loss constraints
Geraldine Bouveret, Athena Picarelli
We study a family of optimal control problems under a set of controlled-loss constraints holding at different deterministic dates. The characterization of the associated value func…