3 papers
q-fin.MF2025
Mean-field control problems with multi-dimensional singular controls
Robert Denkert, Ulrich Horst
We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-di…
math.OC2024
A randomisation method for mean-field control problems with common noise
Robert Denkert, Idris Kharroubi, Huyên Pham
We study mean-field control (MFC) problems with common noise using the control randomisation framework, where we substitute the control process with an independent Poisson point pr…
math.OC2024
Extended mean-field games with multi-dimensional singular controls and non-linear jump impact
Robert Denkert, Ulrich Horst
We establish a probabilistic framework for analysing extended mean-field games with multi-dimensional singular controls and state-dependent jump dynamics and costs. Two key challen…