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We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs.
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Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control:
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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
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Mean-field stochastic differential equations and associated PDEs
R. Buckdahn, J. Li, S. Peng, and C. Rainer · 2017
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Stochastic Control in Infinite Dimension
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Stochastic optimal control with delay in the control I: Solving the HJB equation through partial smoothing
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Stochastic optimal control with delay in the control II: Verification theorem and optimal feedbacks
F. Gozzi and F. Masiero · 2017
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Generically Distributed Investments on Flexible Projects and Endogenous Growth
S. Federico M. Bambi, C. Di Girolami and F. Gozzi · 2017
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Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics
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Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
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An elementary proof for the structure of Wasserstein derivatives
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Extended mean field control problems: stochastic maximum principle and transport perspective
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Zero-sum stochastic differential games of generalized McKean-Vlasov type
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Optimal control of nonlinear stochastic differential equations on Hilbert spaces
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Optimal portfolio choice with path dependent labor income: the infinite horizon case
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Viscosity solutions for controlled McKean-Vlasov jump-diffusions
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Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
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Errata: Stochastic optimal control with delay in the control I: Solving the HJB equation through partial smoothing, and Stochastic optimal control with delay in the control II: Verification theorem and optimal feedbacks [ MR3702861]
Fausto Gozzi and Federica Masiero · 2021
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