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math.OC2025
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…
math.OC2024★ 1 cited
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…