322 citations · 347 across the 15 of their papers we have counts for
18 papers
Mean field stochastic control under sublinear expectation
Rainer Buckdahn, Bowen He, Juan Li
Our work is devoted to the study of Pontryagin's stochastic maximum principle for a mean-field optimal control problem under Peng's -expectation. The dynamics of the controlled…
BSDEs generated by fractional space-time noise and related SPDEs
Yaozhong Hu, Juan Li, Chao Mi
This paper is concerned with the backward stochastic differential equations whose generator is a weighted fractional Brownian field: $Y_t=ξ+\int_t^T Y_s W (ds,B_s) -\int_t^T Z_sdB_…
Mean-field BDSDEs and associated nonlocal semi-linear backward stochastic partial differential equations
Rainer Buckdahn, Juan Li, Chuanzhi Xing
In this paper we investigate mean-field backward doubly stochastic differential equations (BDSDEs), i.e., BDSDEs whose driving coefficients also depend on the joint law of the solu…
SIR Epidemics With State-Dependent Costs and ICU Constraints: A Hamilton-Jacobi Verification Argument and Dual LP Algorithms
Lorenzo Freddi, Dan Goreac, Juan Li +1
The aim of this paper is twofold. On one hand, we strive to give a simpler proof of the optimality of greedy controls when the cost of interventions is control-affine and the dynam…
A stochastic maximum principle for partially observed general mean-field control problems with only weak solution
Juan Li, Hao Liang, Chao Mi
In this paper we focus on a general type of mean-field stochastic control problem with partial observation, in which the coefficients depend in a non-linear way not only on the sta…
A General Conditional McKean-Vlasov Stochastic Differential Equation
Rainer Buckdahn, Juan Li, Jin Ma
In this paper we consider a class of {\it conditional McKean-Vlasov SDEs} (CMVSDE for short). Such an SDE can be considered as an extended version of McKean-Vlasov SDEs with common…