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math.OC2026
Multidimensional quadratic BSDEs with weak interactions and their applications in mean-field games of controls
Ulrich Horst, Emil Schmidek, Huilin Zhang
The well-posedness of multidimensional quadratic backward stochastic differential equations (qBSDEs) remains one of the central open problems in BSDE theory. Motivated by a mean-fi…
math.OC2025
Pontryagin Maximum Principle for rough stochastic systems and pathwise stochastic control
Ulrich Horst, Huilin Zhang
We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and a…