3 papers
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.PR2025
Pontryagin Maximum Principle for McKean-Vlasov Stochastic Reaction-Diffusion Equations
Johan Benedikt Spille, Wilhelm Stannat
We consider the stochastic control of a semi-linear stochastic partial differential equations (SPDE) of McKean-Vlasov type. Based on a recent novel approach to the Lions derivative…