6 papers
Extended mean field games with terminal constraint via decoupling fields
Tianjiao Hua, Peng Luo
We consider a class of extended mean field games with common noises, where there exists a strictly terminal constraint. We solve the problem by reducing it to an unconstrained cont…
A robust stochastic control problem with applications to monotone mean-variance problems
Yuyang Chen, Tianjiao Hua, Peng Luo
This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through…
Infinite horizon McKean-Vlasov FBSDEs and applications to mean field control problems
Tianjiao Hua, Peng Luo
In this paper, we study a class of infinite horizon fully coupled McKean-Vlasov forward-backward stochastic differential equations (FBSDEs). We propose a generalized monotonicity c…
Linear-quadratic extended mean field games with common noises
Tianjiao Hua, Peng Luo
In this paper, we consider a class of linear quadratic extended mean field games (MFGs) with common noises where the state coefficients and the cost functional vary with the mean f…
Well-posedness for a class of mean field type FBSDEs and classical solutions of related master equations
Tianjiao Hua, Peng Luo
In this paper, we study a class of mean field type FBSDEs. We propose a class of motonotinity conditions, under which we show the uniformly Lipschitz continuity of the decoupling f…
A unified approach to global solvability for FBSDEs with diagonal generators
Tianjiao Hua, Peng Luo
In this paper, we study the global solvability of multidimensional forward-backward stochastic differential equations (FBSDEs) with diagonally Lipschitz, quadratic or super-quadrat…