4 papers · 1 filter
Mean field games with terminal state constraints
Luciano Campi, Luca Di Persio, Viktorya Vardanyan
We study a mean field game (MFG) of state and control with state dynamics described by stochastic differential equations driven by both idiosyncratic and common noise, and subject…
A uniqueness result for finite-state mean field games with non-separable Hamiltonian
Alekos Cecchin, Luca Di Persio, Nicola Fraccarolo
We study a class of continuous-time mean field games on a finite state space with transition rates depending on the population distribution, leading to a non-separable Hamiltonian.…
Nonlocal Stochastic Optimal Control for Diffusion Processes: Existence, Maximum Principle and Financial Applications
Stefana-Lucia Anita, Luca Di Persio
This paper investigates the optimal control problem for a class of parabolic equations where the diffusion coefficient is influenced by a control function acting nonlocally. Specif…
Optimal Control of McKean-Vlasov equations with controlled stochasticity
Luca Di Persio, Peter Kuchling
In this article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To…