3 citations · 9 across the 15 of their papers we have counts for
15 papers
The Mean-Field Limit of Online Stochastic Vector Balancing
Christian Fiedler, Joe Jackson, Daniel Lacker +1
We study an online vector balancing problem, in which independent Gaussian random vectors , each of dimension $n…
Mean field control with stopping
Pierre Cardaliaguet, Joe Jackson, Panagiotis E. Souganidis
We study a high-dimensional stochastic optimization problem which features both control and stopping. In particular, a central planner steers a large population of particles, and c…
Quantitative convergence for displacement monotone Mean Field Games of control
Joe Jackson, Alpár R. Mészáros
In this paper we establish quantitative convergence results for both open and closed-loop Nash equilibria of N-player stochastic differential games in the setting of Mean Field Gam…
A non-asymptotic approach to stochastic differential games with many players under semi-monotonicity
Marco Cirant, Joe Jackson, Davide Francesco Redaelli
We consider stochastic differential games with a large number of players, with the aim of quantifying the gap between closed-loop, open-loop and distributed equilibria. We show tha…
Well-posedness of Hamilton-Jacobi equations in the Wasserstein space: non-convex Hamiltonians and common noise
Samuel Daudin, Joe Jackson, Benjamin Seeger
We establish the well-posedness of viscosity solutions for a class of semi-linear Hamilton-Jacobi equations set on the space of probability measures on the torus. In particular, we…
On the Optimal Rate for the Convergence Problem in Mean Field Control
Samuel Daudin, François Delarue, Joe Jackson
The goal of this work is to obtain optimal rates for the convergence problem in mean field control. Our analysis covers cases where the solutions to the limiting problem may not be…
Quantitative convergence for displacement monotone mean field games with controlled volatility
Joe Jackson, Ludovic Tangpi
We study the convergence problem for mean field games with common noise and controlled volatility. We adopt the strategy recently put forth by Laurière and the second author, using…
Approximately optimal distributed stochastic controls beyond the mean field setting
Joe Jackson, Daniel Lacker
We study high-dimensional stochastic optimal control problems in which many agents cooperate to minimize a convex cost functional. We consider both the full-information problem, in…
On quasilinear parabolic systems and FBSDEs of quadratic growth
Joe Jackson
Using probabilistic methods, we establish a-priori estimates for two classes of quasilinear parabolic systems of partial differential equations (PDEs). We treat in particular the c…
An algebraic convergence rate for the optimal control of McKean-Vlasov dynamics
Pierre Cardaliaguet, Samuel Daudin, Joe Jackson +1
We establish an algebraic rate of convergence in the large number of players limit of the value functions of N-particle stochastic control problems towards the value function of th…
The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems
Joe Jackson
In this paper, we study the connections between three concepts - the reverse Hölder inequality for matrix-valued martingales, the well-posedness of linear BSDEs with unbounded coef…
A new monotonicity condition for ergodic BSDEs and ergodic control with super-quadratic Hamiltonians
Joe Jackson, Gechun Liang
We establish the existence (and in an appropriate sense uniqueness) of Markovian solutions for ergodic BSDEs under a novel monotonicity condition. Our monotonicity condition allows…
Global existence for quadratic FBSDE systems and application to stochastic differential games
Joe Jackson
In this note, we extend some recent results on systems of backward stochastic differential equations (BSDEs) with quadratic growth to the case of coupled forward-backward stochasti…
Existence and uniqueness for non-Markovian triangular quadratic BSDEs
Joe Jackson, Gordan Žitković
We prove the existence and uniqueness of solutions to a class of quadratic BSDE systems which we call triangular quadratic. Our results generalize several existing results about di…
A characterization of solutions of quadratic BSDEs and a new approach to existence
Joseph Jackson, Gordan Žitković
We provide a novel characterization of the solutions of a quadratic BSDE, which is analogous to the characterization of local martingales by convex functions. We then use our main…