2 papers
math.OC2024
Optimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation
Rainer Buckdahn, Juan Li, Zhanxin Li
We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also…
math.OC2024
A Global Stochastic Maximum Principle for Mean-Field Forward-Backward Stochastic Control Systems with Quadratic Generators
Rainer Buckdahn, Juan Li, Yanwei Li +1
Our paper is devoted to the study of Peng's stochastic maximum principle (SMP) for a stochastic control problem composed of a controlled forward stochastic differential equation (S…