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math.OC2022
Entropic optimal planning for path-dependent mean field games
Zhenjie Ren, Xiaolu Tan, Nizar Touzi +1
In the context of mean field games, with possible control of the diffusion coefficient, we consider a path-dependent version of the planning problem introduced by P.L. Lions: given…
math.OC2020
Random horizon principal-agent problems
Yiqing Lin, Zhenjie Ren, Nizar Touzi +1
We consider a general formulation of the random horizon Principal-Agent problem with a continuous payment and a lump-sum payment at termination. In the European version of the prob…