19 citations · 77 across the 11 of their papers we have counts for
4 papers · 1 filter
Itô's formula for flows of measures on semimartingales
Xin Guo, Huyên Pham, Xiaoli Wei
We establish Itô's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on Itô processes. Ou…
Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics
Huyên Pham, Xiaoli Wei
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a lar…
Bellman equation and viscosity solutions for mean-field stochastic control problem
Huyên Pham, Xiaoli Wei
We consider the stochastic optimal control problem of McKean-Vlasov stochastic differential equation where the coefficients may depend upon the joint law of the state and control.…
Discrete time McKean-Vlasov control problem: a dynamic programming approach
Huyên Pham, Xiaoli Wei
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal d…