4 papers
Mean Field Type Control Problems Driven by Jump-diffusions
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this article, we apply a probabilistic approach to study general mean field type control (MFTC) problems with jump-diffusions, and give the first global-in-time solution. We all…
Second Order Fully Nonlinear Mean Field Games with Degenerate Diffusions
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this article, we study the global-in-time well-posedness of second order mean field games (MFGs) with both nonlinear drift functions simultaneously depending on the state, distr…
On Mean Field Monotonicity Conditions from Control Theoretical Perspective
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this article, from the viewpoint of control theory, we discuss the relationships among the commonly used monotonicity conditions that ensure the well-posedness of the solutions…
Fractional Backward Stochastic Partial Differential Equations with Applications to Stochastic Optimal Control of Partially Observed Systems driven by Lévy Processes
Yuyang Ye, Yunzhang Li, Shanjian Tang
In this paper, we study the Cauchy problem for backward stochastic partial differential equations (BSPDEs) involving fractional Laplacian operator. Firstly, by employing the martin…