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math.OC2025
Indefinite Linear-Quadratic Partially Observed Mean-Field Game
Tian Chen, Tianyang Nie, Zhen Wu
This paper investigates an indefinite linear-quadratic partially observed mean-field game with common noise, incorporating both state-average and control-average effects. In our mo…
math.OC2024
Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
Tian Chen, Guanxu Li, Zhen Wu
In this paper, we consider the mean field optimal switching problem with a Markov chain under viscosity solution notion. Based on the conditional distribution of the Markov chain,…
math.OC2023
A maximum principle for progressive optimal control of mean-filed forward-backward stochastic system involving random jumps and impulse controls
Tian Chen, Kai Du, Zongyuan Huang +1
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular co…