2 citations · 2 across the 8 of their papers we have counts for
10 papers
Optimal Control of Mean-field FBSDEs and Classical Solutions of the Related Generalized HJB Equations
Ziyu Huang
In this article, we study optimal control problems driven by mean-field forward-backward stochastic differential equations (FBSDEs). The aim is two-fold: (i) to provide the unique…
A Variational Approach to Mean Field Type Control
Alain Bensoussan, Ziyu Huang, Sheung Chi Phillip Yam
Variational methods have been used to study stochastic control for long, see Bensoussan (1982) and Bensoussan-Lions (1978) for the early works. More precisely, variational approach…
On Convergence Rates of General -Player Stackelberg Games to their Mean Field Limits
Alain Bensoussan, Ziyu Huang, Sheng Wang +1
In this article, we establish precise convergence rates of a general class of -Player Stackelberg games to their mean field limits, which allows the response time delay of infor…
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…
A Class of Degenerate Mean Field Games, Associated FBSDEs and Master Equations
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
In this paper, we study a class of degenerate mean field games (MFGs) with state-distribution dependent and unbounded functional diffusion coefficients. With a probabilistic method…
Degenerate Mean Field Type Control with Linear and Unbounded Diffusion, and their Associated Equations
Alain Bensoussan, Ziyu Huang, Shanjian Tang +1
We study the well-posedness of a system of forward-backward stochastic differential equations (FBSDEs) corresponding to a degenerate mean field type control problem, when the diffu…
Maximum Principle for Mean Field Type Control Problems with General Volatility Functions
Alain Bensoussan, Ziyu Huang, Sheung Chi Phillip Yam
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using o…
Mean Field Games with Major and Minor Agents: the Limiting Problem and Nash Equilibrium
Ziyu Huang, Shanjian Tang
In this paper, we consider a mean field game (MFG) with a major and minor agents. We first consider the limiting problem and allow the coefficients to vary with the conditional…