322 citations · 347 across the 15 of their papers we have counts for
7 papers · 1 filter
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…
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…
Value existence for zero-sum ergodic stochastic differential games
Juan Li, Wenqiang Li, Yanwei Li +1
In this paper we investigate two-player zero-sum stochastic differential games with an ergodic payoff, in which the diffusion coefficient does not need to be non-degenerate. We fir…
Rare-Event Simulation for Distribution Networks
Jose Blanchet, Juan Li, Marvin K. Nakayama
We model equilibrium allocations in a distribution network as the solution of a linear program (LP) which minimizes the cost of unserved demands across nodes in the network. The co…
Zero-sum and nonzero-sum differential games without Isaacs condition
Juan Li, Wenqiang Li
In this paper we study the zero-sum and nonzero-sum differential games with not assuming Isaacs condition. Along with the partition of the time interval , we choose the…