203 citations · 246 across the 14 of their papers we have counts for
14 papers
Derivative over Wasserstein spaces along curves of densities
Rainer Buckdahn, Juan Li, Hao Liang
In this paper, given any random variable defined over a probability space , we focus on the study of the derivative of functions of the form $L\mapsto F_Q(L)…
Representation of asymptotic values for nonexpansive stochastic control systems
Juan Li, Nana Zhao
In ergodic stochastic problems the limit of the value function of the associated discounted cost functional with infinite time horizon is studied, when the discounted factor…
Mean-field forward and backward SDEs with jumps. Associated nonlocal quasi-linear integral-PDEs
Juan Li
In this paper we consider a mean-field backward stochastic differential equation (BSDE) driven by a Brownian motion and an independent Poisson random measure. Translating the split…
Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition
Rainer Buckdahn, Juan Li, Marc Quincampoix
In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equ…
Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations
Juan Li, Qingmeng Wei
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined…
Reflected Mean-Field Backward Stochastic Differential Equations. Approximation and Associated Nonlinear PDEs
Juan Li
Mathematical mean-field approaches have been used in many fields, not only in Physics and Chemistry, but also recently in Finance, Economics, and Game Theory. In this paper we will…