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math.OC2023
A maximum principle for progressive optimal control of mean-filed forward-backward stochastic system involving random jumps and impulse controls
Tian Chen, Kai Du, Zongyuan Huang +1
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular co…
math.PR2023
Sequential propagation of chaos
Kai Du, Yifan Jiang, Xiaochen Li
A new class of particle systems with sequential interaction is proposed to approximate the McKean-Vlasov process that originally arises as the limit of the mean-field interacting p…