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math.OC2019
Mean Field approach to stochastic control with partial information
Alain Bensoussan, Sheung Chi Phillip Yam
The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probabi…
math.OC2019★ 7 cited
Stochastic Control on Space of Random Variables
Alain Bensoussan, P. Jameson Graber, S. C. P. Yam
By extending \cite{bensoussan2015control}, we implement the proposal of Lions \cite{lions14} on studying mean field games and their master equations via certain control problems on…