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math.OC2026
Optimal transportation under McKean-Vlasov dynamics
Camilo Hernández, Ludovic Tangpi
We study a broad class of stochastic transport problems under controlled McKean-Vlasov dynamics, allowing control of both drift and volatility, with weak terminal constraints. In c…
math.OC2024
Closed-loop equilibria for Stackelberg games: a story about stochastic targets
Camilo Hernández, Nicolás Hernández Santibáñez, Emma Hubert +1
We provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem with…