90 citations · 165 across the 16 of their papers we have counts for
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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…
Bayesian learning for the Markowitz portfolio selection problem
Carmine De Franco, Johann Nicolle, Huyên Pham
We study the Markowitz portfolio selection problem with unknown drift vector in the multidimensional framework. The prior belief on the uncertain expected rate of return is modeled…
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…
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…
A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems
Alessandro Balata, Côme Huré, Mathieu Laurière +2
We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV co…