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math.PR2025
Peng's Maximum Principle for Stochastic Delay Differential Equations of Mean-Field Type
Giuseppina Guatteri, Federica Masiero, Lukas Wessels
We extend Peng's maximum principle to the case of stochastic delay differential equations of mean-field type. More precisely, the coefficients of our control problem depend on the…
math.PR2025
Stochastic Optimal Control of Interacting Particle Systems in Hilbert Spaces and Applications
Filippo de Feo, Fausto Gozzi, Andrzej ÅwiÄch +1
Optimal control of interacting particles governed by stochastic evolution equations in Hilbert spaces is an open area of research. Such systems naturally arise in formulations wher…
math.PR2024
Semilinear Feynman-Kac Formulae for -Continuous Viscosity Solutions
Lukas Wessels
We prove the existence of a -continuous viscosity solution for a class of infinite dimensional semilinear partial differential equations (PDEs) using probabilistic methods. Our…