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math.PR2026
Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations with Common Noise
Johan Benedikt Spille, Wilhelm Stannat
We study a stochastic optimal control problem for McKean-Vlasov stochastic differential equations (SDEs) with common noise, where the dynamics depend on the conditional law of the…
math.PR2026
A Novel Approach to Peng's Maximum Principle for McKean-Vlasov Stochastic Differential Equations
Johan Benedikt Spille, Wilhelm Stannat
We present a novel approach to the proof of Peng's maximum principle for McKean-Vlasov stochastic differential equations (SDE). The main step is the introduction of a third adjoint…
math.PR2026
On a stochastic phase-field model of cell motility with singular diffusion
Amjad Saef, Wilhelm Stannat
We study existence of solutions in the variational sense for a class of stochastic phase-field models describing moving boundary problems. The models consist of stochastic reaction…