26 citations · 111 across the 20 of their papers we have counts for
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math.OC2020★ 3 cited
Duality and approximation of stochastic optimal control problems under expectation constraints
Laurent Pfeiffer, Xiaolu Tan, Yulong Zhou
We consider a continuous time stochastic optimal control problem under both equality and inequality constraints on the expectation of some functionals of the controlled process. Un…
math.OC2020
Discrete-time mean field games with risk averse-agents
J. Frédéric Bonnans, Pierre Lavigne, Laurent Pfeiffer
We propose and investigate a discrete-time mean field game model involving risk-averse agents. The model under study is a coupled system of dynamic programming equations with a Kol…