181 citations · 542 across the 33 of their papers we have counts for
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math.PR2016
Limit theory for controlled McKean-Vlasov dynamics
Daniel Lacker
This paper rigorously connects the problem of optimal control of McKean-Vlasov dynamics with large systems of interacting controlled state processes. Precisely, the empirical distr…
math.PR2016
A non-exponential extension of Sanov's theorem via convex duality
Daniel Lacker
This work is devoted to a vast extension of Sanov's theorem, in Laplace principle form, based on alternatives to the classical convex dual pair of relative entropy and cumulant gen…
math.PR2016
Mean field games of timing and models for bank runs
Rene Carmona, Francois Delarue, Daniel Lacker
The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time se…