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20152023
most citedSuper-replication with proportional transaction cost under model uncertainty

12 citations · 17 across the 9 of their papers we have counts for

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Showing 2019Show all

2 papers · 1 filter

math.OC2019★ 1 cited

Mean Field Games with Branching

Julien Claisse, Zhenjie Ren, Xiaolu Tan

Mean field games are concerned with the limit of large-population stochastic differential games where the agents interact through their empirical distribution. In the classical set…

math.OC2019

McKean-Vlasov optimal control: the dynamic programming principle

Mao Fabrice Djete, Dylan Possamaï, Xiaolu Tan

We study the McKean-Vlasov optimal control problem with common noise in various formulations, namely the strong and weak formulation, as well as the Markovian and non-Markovian for…