156 citations · 514 across the 50 of their papers we have counts for
Showing 2017 · math.OCShow all
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math.OC2017★ 1 cited
Quantile-based Mean-Field Games with Common Noise
Hamidou Tembine
In this paper we explore the impact of quantiles on optimal strategies under state dynamics driven by both individual noise, common noise and Poisson jumps. We first establish an o…
math.OC2017
Risk-Sensitive Mean-Field-Type Control
Alain Bensoussan, Boualem Djehiche, Hamidou Tembine +1
We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law a…
math.OC2017★ 4 cited
Distributionally Robust Games: f-Divergence and Learning
Dario Bauso, Jian Gao, Hamidou Tembine
In this paper we introduce the novel framework of distributionally robust games. These are multi-player games where each player models the state of nature using a worst-case distri…