14 citations · 44 across the 33 of their papers we have counts for
7 papers · 1 filter
A Nonlocal Stochastic Optimal Control with Elliptic-Type Smoothing
Stefana-Lucia Anita, Luca Di Persio
We study a nonlocal stochastic optimal control problem in which the control acts through the elliptic smoothing operator on . The state is de…
Trembling-Hand Perfection in Mean Field Games
Luciano Campi, Luca Di Persio, Lucrezia Zorzi
We introduce an admissible trembling-hand refinement for stochastic mean field games formulated through relaxed controlled martingale problems. A relaxed MFG equilibrium is perfect…
A uniqueness result for finite-state mean field games with non-separable Hamiltonian
Alekos Cecchin, Luca Di Persio, Nicola Fraccarolo
We study a class of continuous-time mean field games on a finite state space with transition rates depending on the population distribution, leading to a non-separable Hamiltonian.…
Mean field games with terminal state constraints
Luciano Campi, Luca Di Persio, Viktorya Vardanyan
We study a mean field game (MFG) of state and control with state dynamics described by stochastic differential equations driven by both idiosyncratic and common noise, and subject…
Minimal controllability time for systems with nonlinear drift under a compact convex state constraint
Viktor Bezborodov, Luca Di Persio, Riccardo Muradore
In this paper we estimate the minimal controllability time for a class of non-linear control systems with a bounded convex state constraint. An explicit expression is given for the…
A maximum principle for a stochastic control problem with multiple random terminal times
Francesco Cordoni, Luca Di Persio
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we ap…
Feedback optimal controllers for the Heston model
Viorel Barbu, Chiara Benazzoli, Luca Di Persio
We prove the existence of an optimal feedback controller for a stochastic optimization problem constituted by a variation of the Heston model, where a stochastic input process is a…