4 papers · 2 filters
Mean Field Control with Poissonian Common Noise: A Pathwise Compactification Approach
Lijun Bo, Jingfei Wang, Xiaoli Wei +1
This paper contributes to the compactification approach to study mean-field control problems with Poissonian common noise. To overcome the lack of compactness and continuity issues…
Mean Field Game of Optimal Tracking Portfolio
Lijun Bo, Yijie Huang, Xiang Yu
This paper studies the mean field game (MFG) problem arising from a large population competition in fund management, featuring a new type of relative performance via the benchmark…
Mean Field Game of Controls with State Reflections: Existence and Limit Theory
Lijun Bo, Jingfei Wang, Xiang Yu
This paper studies mean field game (MFG) of controls by featuring the state-control joint distribution and the reflected state process at an exogenous stochastic reflection boundar…
Constrained mean-field control with singular controls: Existence, stochastic maximum principle and constrained FBSDE
Lijun Bo, Jingfei Wang, Xiang Yu
This paper studies a class of mean-field control (MFC) problems with singular controls under general dynamic state-control-law constraints. We first propose a customized relaxed co…