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math.OC2025
Continuous Policy and Value Iteration for Relaxed Stochastic Control Problems and Its Convergence
Qi Feng, Gu Wang
We introduce a continuous policy-value iteration algorithm where the approximations of the value function of a stochastic control problem and the optimal control are simultaneously…
math.OC2025
Ergodic McKean-Vlasov Games: Verification Theorems and Linear-Quadratic Applications
Qingshuo Song, Gu Wang, Zuo Quan Xu +1
This paper investigates two-player ergodic nonzero-sum stochastic differential games with McKean-Vlasov dynamics. We establish a verification theorem connecting solutions of couple…