5 papers
Conditional McKean-Vlasov control
René Carmona, Ludovic Tangpi, Kaiwen Zhang
Conditional McKean-Vlasov control problems involve controlling McKean-Vlasov diffusions where the interaction occurs through the law of the state process conditionally on it stayin…
Kuramoto Mean Field Game with Intrinsic Frequencies
Rene Carmona, Quentin Cormier, Mete Soner
This paper studies a mean field game formulation of the classical Kuramoto model for synchronization. Our model captures the diversity within the population by considering random i…
Particle Approximation for Conditional Control with Soft Killing
Rene Carmona, Samuel Daudin
The aim of this paper is to develop a particle approximation for the conditional control problem introduced by P.-L. Lions during his lectures at the Collège de France in November…
Mimicking and Conditional Control with Hard Killing
Rene Carmona, Daniel Lacker
We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Ito process conditioned to not have exited a given domain. We…
A Probabilistic Approach to Discounted Infinite Horizon and Invariant Mean Field Games
René Carmona, Ludovic Tangpi, Kaiwen Zhang
This paper considers discounted infinite horizon mean field games by extending the probabilistic weak formulation of the game as introduced by Carmona and Lacker (2015). Under simi…