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math.OC2019★ 7 cited
Stochastic Control on Space of Random Variables
Alain Bensoussan, P. Jameson Graber, S. C. P. Yam
By extending \cite{bensoussan2015control}, we implement the proposal of Lions \cite{lions14} on studying mean field games and their master equations via certain control problems on…
math.OC2016
Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource
P. Jameson Graber
We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward…