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math.OC2026
State-Dependent Delays in Optimal Control and Hamilton--Jacobi Equations
Yiming Jiang, Cristian Mendico, Yawei Wei +2
We develop a Hamilton--Jacobi theory for finite-horizon optimal control problems governed by state-dependent delay equations. In this setting, the delayed-time map depends on the c…
math.OC2026
Mean field and N-agent games for optimal relative consumption-investment with jump risk and common noise
Yiming Jiang, Fuxing Li, Yawei Wei +1
This paper studies an optimal consumption--investment problem for competitive agents in an \(N\)-player game and its associated mean field game. Each agent invests in an individual…