40 citations · 42 across the 4 of their papers we have counts for
4 papers · 1 filter
A model of debt with bankruptcy risk and currency devaluation
Rossana Capuani, Steven Gilmore, Khai T. Nguyen
The paper studies a system of Hamilton-Jacobi equations, arising from a stochastic optimal debt management problem in an infinite time horizon with exponential discount, modeled as…
Mean Field Games with state constraints: from mild to pointwise solutions of the PDE system
Piermarco Cannarsa, Rossana Capuani, Pierre Cardaliaguet
Mean Field Games with state constraints are differential games with infinitely many agents, each agent facing a constraint on his state. The aim of this paper is to provide a meani…
-smoothness of constrained solutions in the calculus of variations with application to mean field games
Piermarco Cannarsa, Rossana Capuani, Pierre Cardaliaguet
We derive necessary optimality conditions for minimizers of regular functionals in the calculus of variations under smooth state constraints. In the literature, this classical prob…
Existence and uniqueness for Mean Field Games with state constraints
Piermarco Cannarsa, Rossana Capuani
In this paper, we study deterministic mean field games for agents who operate in a bounded domain. In this case, the existence and uniqueness of Nash equilibria cannot be deduced a…