2 citations · 2 across the 1 of their papers we have counts for
3 papers
A Stochastic Calculus for Rosenblatt Processes
Petr Čoupek, Tyrone E. Duncan, Bozenna Pasik-Duncan
A stochastic calculus is given for processes described by stochastic integrals with respect to fractional Brownian motions and Rosenblatt processes somewhat analogous to the stocha…
Matrix-Valued Mean-Field-Type Games: Risk-Sensitive, Adversarial, and Risk-Neutral Linear-Quadratic Case
Julian Barreiro-Gomez, Tyrone E. Duncan, Hamidou Tembine
In this paper we study a class of matrix-valued linear-quadratic mean-field-type games for both the risk-neutral, risk-sensitive and robust cases. Non-cooperation, full cooperation…
Semi-Explicit Solutions to some Non-Linear Non-Quadratic Mean-Field-Type Games: A Direct Method
Julian Barreiro-Gomez, Tyrone E. Duncan, Bozenna Pasik-Duncan +1
This article examines mean-field-type game problems by means of a direct method. We provide various solvable examples beyond the classical linear-quadratic game problems. These inc…