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math.AP2025
Large -limit of matrix control problems and non-commutative controls
Wilfrid Gangbo, David Jekel, Kyeongsik Nam +1
Building on the free-probability stochastic control framework introduced in arXiv:2502.17329, we connect optimal control problems for random matrix ensembles with thei…
math.AP2025
Viscosity Solutions in Non-commutative Variables
Wilfrid Gangbo, David Jekel, Kyeongsik Nam +1
Motivated by parallels between mean field games and random matrix theory, we develop stochastic optimal control problems and viscosity solutions to Hamilton-Jacobi equations in the…
math.AP2023
The Nonlocal Stefan Problem via a Martingale Transport
Raymond Chu, Inwon Kim, Young-Heon Kim +1
We study the nonlocal Stefan problem, where the phase transition is described by a nonlocal diffusion as well as the change of enthalpy functions. By using a stochastic optimizatio…