Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
From MaRDI portal
Publication:6636455
DOI10.1016/j.sysconle.2024.105895MaRDI QIDQ6636455
Publication date: 12 November 2024
Published in: Systems \& Control Letters (Search for Journal in Brave)
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work
- Unnamed Item
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications
- Sufficient stochastic maximum principle in a regime-switching diffusion model
- Hamilton-Jacobi equations in the Wasserstein space
- Mean field games
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. III: Uniqueness of viscosity solutions for general second-order equations
- Viscosity solutions of fully nonlinear second-order equations and optimal stochastic control in infinite dimensions. I: The case of bounded stochastic evolutions
- Optimal control of multiagent systems in the Wasserstein space
- Nonzero-sum impulse games with regime switching
- The maximum principle for stochastic control problem with Markov chain in progressive structure
- Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Stock trading: an optimal selling rule
- Stochastic Optimal Control in Infinite Dimension
- Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters
- A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type
- Bellman equation and viscosity solutions for mean-field stochastic control problem
- Some Properties of Viscosity Solutions of Hamilton-Jacobi Equations
- DETERMINISTIC DIFFERENTIAL GAMES UNDER PROBABILITY KNOWLEDGE OF INITIAL CONDITION
- Viscosity Solutions of Hamilton-Jacobi Equations
- User’s guide to viscosity solutions of second order partial differential equations
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markov Chains
- Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes
- Mean field and n‐agent games for optimal investment under relative performance criteria
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
- Probabilistic Theory of Mean Field Games with Applications II
- Viscosity Solutions for Obstacle Problems on Wasserstein Space
- Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
- Linear quadratic leader-follower stochastic differential games for mean-field switching diffusions
- The mean field optimal switching problem: variational inequality approach
This page was built for publication: Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6636455)