1 citations · 1 across the 4 of their papers we have counts for
4 papers
A stochastic maximum principle of mean-field type with monotonicity conditions
Bowen He, Juan Li, Zhanxin Li
The objective of this paper is to weaken the Lipschitz condition to a monotonicity condition and to study the corresponding Pontryagin stochastic maximum principle (SMP) for a mean…
Optimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation
Rainer Buckdahn, Juan Li, Zhanxin Li
We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also…
Comparison theorems for mean-field BSDEs whose generators depend on the law of the solution
Juan Li, Zhanxin Li, Chuanzhi Xing
For general mean-field backward stochastic differential equations (BSDEs) it is well-known that we usually do not have the comparison theorem if the coefficients depend on the law…
Path-depending controlled mean-field coupled forward-backward SDEs. The associated stochastic maximum principle
Rainer Buckdahn, Juan Li, Junsong Li +1
In the present paper we discuss a new type of mean-field coupled forward-backward stochastic differential equations (MFFBSDEs). The novelty consists in the fact that the coefficien…