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math.OC2026
Mean field games with option to buy information
Bernardo D'Auria, Markus Fischer
We introduce a class of continuous time finite horizon mean field games where the objective function of the representative player depends on a hidden state, in addition to position…
math.OC2026
Robust Ergodic Control of Jump-Diffusion Systems under Drift and Intensity Uncertainty
Abel Azze, Bernardo D'Auria, Giorgio Ferrari
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both t…