84 citations · 686 across the 54 of their papers we have counts for
4 papers · 1 filter
Nonlinear diffusions and stable-like processes with coefficients depending on the median or VaR
Vassili N. Kolokoltsov
In June 2012 on a conference in Bielefeld, after the author made the presentation of his theory of nonlinear Markov processes, Tom Kurtz asked him whether his methods would allow t…
Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations
V. Kolokoltsov, M. Veretennikova
In this paper we study controlled continuous time random walks (CTRWs) and heuristically derive pay-off function dynamic programming (DP) equations which turn in the limit of stand…
The turnpike theorems for Markov games
Vassili Kolokoltsov, Wei Yang
This paper has a two-folded purpose. First, we attempt to outline the development of the turnpike theorems in the the last several decades. Second, we study turnpike theorems in fi…
On some models of many agent systems with competition and cooperation
Vassili N. Kolokoltsov, Oleg A. Malafeyev
We review and develop a selection of models of systems with competition and cooperation, with origins in economics, where deep insights can be obtained by the mathematical methods…