3 papers
math.PR2025
Conditional McKean-Vlasov control
René Carmona, Ludovic Tangpi, Kaiwen Zhang
Conditional McKean-Vlasov control problems involve controlling McKean-Vlasov diffusions where the interaction occurs through the law of the state process conditionally on it stayin…
math.OC2024
A Probabilistic Approach to Discounted Infinite Horizon and Invariant Mean Field Games
René Carmona, Ludovic Tangpi, Kaiwen Zhang
This paper considers discounted infinite horizon mean field games by extending the probabilistic weak formulation of the game as introduced by Carmona and Lacker (2015). Under simi…
eess.SY2024
Application of Kalman Filter in Stochastic Differential Equations
Wencheng Bao, Shi Feng, Kaiwen Zhang
In areas such as finance, engineering, and science, we often face situations that change quickly and unpredictably. These situations are tough to handle and require special tools a…