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We consider the control of McKean-Vlasov dynamics (or mean-field control) with probabilistic state constraints.
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Bruno Bouchard, Romuald Elie and Cyril Imbert · 2010
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“A general Hamilton-Jacobi framework for non-linear state-constrained control problems”
Albert Altarovici, Olivier Bokanowski and Hasnaa Zidani · 2013
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“Advances and applications of chance-constrained approaches to systems optimisation under uncertainty”
Abebe Geletu, Michael Klöppel, Hui Zhang and Pu Li · 2013
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D.. Kingma and J. Ba · 2014
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Mathieu Laurière and Olivier Pironneau · 2014
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“Dynamic Programming and Error Estimates for Stochastic Control Problems with Maximum Cost”
Olivier Bokanowski, Athena Picarelli and Hasnaa Zidani · 2015
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“Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics”
René Carmona and François Delarue · 2015
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“State-Constrained Stochastic Optimal Control Problems via Reachability Approach”
Olivier Bokanowski, Athena Picarelli and Hasnaa Zidani · 2016
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“Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics”
Huyên Pham and Xiaoli Wei · 2017
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“Existence and Uniqueness for Mean Field Games with State Constraints”
Piermarco Cannarsa and Rossana Capuani · 2018
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“Probabilistic Theory of Mean Field Games: vol. I, Mean Field FBSDEs, Control, and Games”
René Carmona and François Delarue · 2018
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“Probabilistic Theory of Mean Field Games: vol. II, Mean Field game with common noise and Master equations”
René Carmona and François Delarue · 2018
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Hugo Gevret et al · 2018
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“Bellman equation and viscosity solutions for mean-field stochastic control problem”
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