14 citations · 15 across the 2 of their papers we have counts for
2 papers
math.OC2014★ 14 cited
Singular mean-field control games with applications to optimal harvesting and investment problems
Yaozhong Hu, Bernt Øksendal, Agnès Sulem
This paper studies singular mean field control problems and singular mean field stochastic differential games. Both sufficient and necessary conditions for the optimal controls and…
math.OC2014★ 1 cited
Optimal stopping for dynamic risk measures with jumps and obstacle problems
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the optimal stopping problem for a monotonous dynamic risk measure induced by a BSDE with jumps in the Markovian case. We show that the value function is a viscosity solut…