14 citations · 22 across the 12 of their papers we have counts for
5 papers · 1 filter
Mean-field stochastic differential equations and associated PDEs
Rainer Buckdahn, Juan Li, Shige Peng +1
In this paper we consider a mean-field stochastic differential equation, also called Mc Kean-Vlasov equation, with initial data which coefficients depend…
Games with incomplete information in continuous time and for continuous types
Pierre Cardaliaguet, Catherine Rainer
We consider a two-player zero-sum game with integral payoff and with incomplete information on one side, where the payoff is chosen among a continuous set of possible payoffs. We p…
Existence of an Optimal Control for Stochastic Systems with Nonlinear Cost Functional
Rainer Buckdahn, Boubakeur Labed, Catherine Rainer +1
We consider a stochastic control problem which is composed of a controlled stochastic differential equation, and whose associated cost functional is defined through a controlled ba…
On a continuous time game with incomplete information
Pierre Cardaliaguet, Catherine Rainer
For zero-sum two-player continuous-time games with integral payoff and incomplete information on one side, one shows that the optimal strategy of the informed player can be compute…
Stochastic control problems for systems driven by normal martingales
Rainer Buckdahn, Jin Ma, Catherine Rainer
In this paper we study a class of stochastic control problems in which the control of the jump size is essential. Such a model is a generalized version for various applied problems…