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math.PR2024
Itô's Formula for the Rearranged Stochastic Heat Equation
François Delarue, William R. P. Hammersley
The purpose of this short note is to prove a convenient version of Itô's formula for the Rearranged Stochastic Heat Equation (RSHE) introduced by the two authors in a previous cont…
math.OC2024
Fourier Galerkin approximation of mean field control problems
François Delarue, Mattia Martini
The purpose of this work is to provide a finite dimensional approximation of the solution to a mean field optimal control problem set on the -dimensional torus. The approximatio…