90 citations · 165 across the 16 of their papers we have counts for
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math.PR2018
Linear-Quadratic McKean-Vlasov Stochastic Differential Games
Enzo Miller, Huyen Pham
We consider a multi-player stochastic differential game with linear McKean-Vlasov dynamics and quadratic cost functional depending on the variance and mean of the state and control…
math.PR2018
A Weak Martingale Approach to Linear-Quadratic McKean-Vlasov Stochastic Control Problems
Matteo Basei, Huyên Pham
We propose a simple and original approach for solving linear-quadratic mean-field stochastic control problems. We study both finite-horizon and infinite-horizon pro\-blems, and all…
math.PR2018
Zero-sum stochastic differential games of generalized McKean-Vlasov type *
Huyen Pham, Andrea Cosso
We study zero-sum stochastic differential games where the state dynamics of the two players is governed by a generalized McKean-Vlasov (or mean-field) stochastic differential equat…