19 citations · 77 across the 11 of their papers we have counts for
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math.PR2015★ 18 cited
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.…
math.PR2015★ 1 cited
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…