Fetching the paper…
Reading the bibliography…
In this paper, we study the $extended$ mean field control problem, which is a class of McKean-Vlasov stochastic control problem where the state dynamics and the reward functions depend upon the joint (conditional) distribution of the controlled state and the control process.
Statistics of Random Processes
R. Liptser and A. Shiryaev · 1977
Earlier work this paper cites.
Controlled Diffusion Processes
N. V. Krylov · 1980
Earlier work this paper cites.
An extension of skorohod’s almost sure representation theorem
D. Blackwell and L. E. Dubins · 1983
Earlier work this paper cites.
On stochastic relaxed control for partially observed diffusions
W. Fleming and M. Nisio · 1984
Earlier work this paper cites.
Once more about the connection between elliptic operators and Itô’s stochastic equations
N. V. Krylov · 1984
Earlier work this paper cites.
A martingale approach to the law of large numbers for weakly interacting stochastic processes
K. Oelschläger · 1984
Earlier work this paper cites.
Mimicking the one–dimensional marginal distributions of processes having an Itô differential
I. Gyöngy · 1986
Earlier work this paper cites.
Compactification methods in the control of degenerate diffusions: existence of an optimal control
N. El Karoui, D. Huu Nguyen, and M. Jeanblanc-Picqué · 1987
Earlier work this paper cites.
On the McKean–Vlasov limit for interacting diffusions
J. Gärtner · 1988
Earlier work this paper cites.
Topics in propagation of chaos
A.-S. Snitzman · 1991
Earlier work this paper cites.
Multidimensional diffusion processes , volume 233 of Grundlehren der mathematischen Wissenschaften
D. Stroock and S. Varadhan · 1997
Earlier work this paper cites.
Foundations of modern probability
O. Kallenberg · 2002
Earlier work this paper cites.
Functions of matrices: theory and computation
N. J. Higham · 2008
Cited alongside, same era.
Optimal transport: old and new , volume 338 of Grundlehren der Mathematischen Wissenschafte
C. Villani · 2008
Cited alongside, same era.
Large deviation properties of weakly interacting processes via weak convergence methods
A. Budhiraja, P. Dupuis, and M. Fischer · 2012
Cited alongside, same era.
A probabilistic weak formulation of mean field games and applications
R. Carmona and D. Lacker · 2015
Cited alongside, same era.
Mean field games with common noise
R. Carmona, F. Delarue, and D. Lacker · 2016
Cited alongside, same era.
Continuous time mean–variance portfolio optimization through the mean field approach
M. Fischer and G. Livieri · 2016
On the convergence of closed-loop nash equilibria to the mean field game limit
D. Lacker · 2018
Later among the works it cites.
Extended mean field control problems: stochastic maximum principle and transport perspective
B. Acciaio, J. Backhoff Veraguas, and R. Carmona · 2019
Later among the works it cites.
McKean–Vlasov optimal control: the dynamic programming principle
M. F. Djete, D. Possamaï, and X. Tan · 2019
Later among the works it cites.
Many–player games of optimal consumption and investment under relative performance criteria
D. Lacker and A. Soret · 2019
Later among the works it cites.
An extended mean field game for storage in smart grids
C. Alasseur, I. B. Taher, and A. Matoussi · 2020
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Cited alongside, same era.
A general characterization of the mean field limit for stochastic differential games
D. Lacker · 2016
Cited alongside, same era.
Limit theory for controlled McKean–Vlasov dynamics
D. Lacker · 2017
Cited alongside, same era.
Dynamic programming for optimal control of stochastic McKean–Vlasov dynamics
H. Pham and X. Wei · 2017
Cited alongside, same era.
Mean field game of controls and an application to trade crowding
P. Cardaliaguet and C.-A. Lehalle · 2018
Cited alongside, same era.
Mean–field games with differing beliefs for algorithmic trading
P. Casgrain and S. Jaimungal · 2018
Cited alongside, same era.
A tale of a principal and many many agents
R. Elie, T. Mastrolia, and D. Possamaï · 2018
Cited alongside, same era.
Mean field games of controls: on the convergence of nash equilibria
M. F. Djete · 2020
Closest in time.
McKean–Vlasov optimal control: limit theory and equivalence between different formulations
M. F. Djete, D. Possamaï, and X. Tan · 2020
Closest in time.
Price formation and optimal trading in intraday electricity markets
O. Féron, P. Tankov, and L. Tinsi · 2020
Closest in time.
Superposition and mimicking theorems for conditional Mckean-Vlasov equations
D. Lacker, M. Shkolnikov, and J. Zhang · 2020
Closest in time.
Convergence of large population games to mean field games with interaction through controls
M. Laurière and L. Tangpi · 2020
Closest in time.
Mean-field markov decision processes with common noise and open-loop controls
M. Motte and H. Pham · 2020
Closest in time.