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math.OC2025
Stochastic maximum principle for optimal control problem of non exchangeable mean field systems
Idris Kharroubi, Samy Mekkaoui, Huyên Pham
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, wh…
math.OC2025
Linear-quadratic optimal control for non-exchangeable mean-field SDEs and applications to systemic risk
Anna de Crescenzo, Filippo de Feo, Huyên Pham
We study the linear-quadratic control problem for a class of non-exchangeable mean-field systems, which model large populations of heterogeneous interacting agents. We explicitly c…