14 citations · 44 across the 33 of their papers we have counts for
5 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.…
Weibull-Stationary Stochastic Differential Equations for Conditional Long-Horizon Wind Power Forecasting
Luca Di Persio, Mehrdad Ghadiri
We present a one-month-ahead conditional probabilistic framework for wind-power forecasting at ten-minute resolution. Monthly Weibull shape and scale parameters are estimated from…
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…