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math.OC2017★ 1 cited
Stochastic maximum principle for generalized mean-field delay control problem
Hancheng Guo, Jie Xiong, Jiayu Zheng
In this paper, we first give the existence and uniqueness theorems for generalized mean-filed delay stochastic differential equations (GMFDSDEs) and mean-field anticipated backward…
math.OC2017
A second-order stochastic maximum principle for generalized mean-field control problem
Hancheng Guo, Jie Xiong
In this paper, we study the generalized mean-field stochastic control problem when the usual stochastic maximum principle (SMP) is not applicable due to the singularity of the Hami…