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Linear quadratic mean field social control with common noise: A directly decoupling method?
期刊论文
AUTOMATICA, 2022, 卷号: 146, 页码: 14
作者:
Wang, Bing-Chang
;
Zhang, Huanshui
;
Zhang, Ji-Feng
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2023/02/07
Mean field game
Optimal social cost
Stabilization
Finite agents
Common noise
FBSDE
A spectral method for stochastic fractional PDEs using dynamically-orthogonal/bi-orthogonal decomposition
期刊论文
JOURNAL OF COMPUTATIONAL PHYSICS, 2022, 卷号: 461, 页码: 17
作者:
Zhao, Yue
;
Mao, Zhiping
;
Guo, Ling
;
Tang, Yifa
;
Karniadakis, George Em
收藏
  |  
浏览/下载:11/0
  |  
提交时间:2023/02/07
Uncertainty quantification
Anomalous transport
Quasi Monte Carlo simulation
Generalized polynomial chaos
Long-time integration
Poly-fractonomials
Linearization of nonlinear Fokker-Planck equations and applications
期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2022, 卷号: 322, 页码: 1-37
作者:
Ren, Panpan
;
Roeckner, Michael
;
Wang, Feng-Yu
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  |  
浏览/下载:7/0
  |  
提交时间:2023/02/07
Nonlinear Fokker-Planck equation
McKean-Vlasov stochastic differential equation
Diffusion process
Ergodicity
Feynman-Kac formula
STOCHASTIC DIFFERENTIAL EQUATION WITH PIECEWISE CONTINUOUS ARGUMENTS: MARKOV PROPERTY, INVARIANT MEASURE AND NUMERICAL APPROXIMATION
期刊论文
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B, 2022, 页码: 43
作者:
Chen, Chuchu
;
Hong, Jialin
;
Lu, Yulan
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  |  
浏览/下载:4/0
  |  
提交时间:2023/02/07
 
Invariant measure
Markov chain
weak convergence
backward Euler method
stochastic differential equations with piecewise continuous arguments
New Laplacian comparison theorem and its applications to diffusion processes on Riemannian manifolds
期刊论文
BULLETIN OF THE LONDON MATHEMATICAL SOCIETY, 2022, 页码: 24
作者:
Kuwae, Kazuhiro
;
Li, Xiang-Dong
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  |  
浏览/下载:11/0
  |  
提交时间:2022/04/29
Social Optima in Robust Mean Field LQG Control: From Finite to Infinite Horizon
期刊论文
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2021, 卷号: 66, 期号: 4, 页码: 1529-1544
作者:
Wang, Bing-Chang
;
Huang, Jianhui
;
Zhang, Ji-Feng
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  |  
浏览/下载:43/0
  |  
提交时间:2021/06/01
Mathematical model
Games
Robustness
Uncertainty
Optimal control
Stochastic processes
Differential equations
Forward-backward stochastic differential equation (FBSDE)
linear quadratic optimal control
mean field control
model uncertainty
social functional variation
AN EXPLICIT MULTISTEP SCHEME FOR MEAN-FIELD FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
期刊论文
JOURNAL OF COMPUTATIONAL MATHEMATICS, 2021, 页码: 25
作者:
Sun, Yabing
;
Yang, Jie
;
Zhao, Weidong
;
Zhou, Tao
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  |  
浏览/下载:3/0
  |  
提交时间:2022/04/02
Mean-field forward backward stochastic differential equations
Explicit multistep scheme
Error estimates
KALMAN-BUCY FILTERING AND MINIMUM MEAN SQUARE ESTIMATOR UNDER UNCERTAINTY
期刊论文
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2021, 卷号: 59, 期号: 4, 页码: 2669-2692
作者:
Ji, Shaolin
;
Kong, Chuiliu
;
Sun, Chuanfeng
;
Zhang, Ji-Feng
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2022/04/02
Kalman-Bucy filtering
minimum mean square estimator
drift uncertainty
convex operator
minimax theorem
backward stochastic differential equation
Mean field linear-quadratic control: Uniform stabilization and social optimality
期刊论文
AUTOMATICA, 2020, 卷号: 121, 页码: 14
作者:
Wang, Bing-Chang
;
Zhang, Huanshui
;
Zhang, Ji-Feng
收藏
  |  
浏览/下载:17/0
  |  
提交时间:2021/01/14
Mean field game
Variational analysis
Stabilization control
FBSDE
Riccati equation
Backward Stochastic Differential Equations Driven byG-Brownian Motion with Double Reflections
期刊论文
JOURNAL OF THEORETICAL PROBABILITY, 2020, 页码: 30
作者:
Li, Hanwu
;
Song, Yongsheng
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  |  
浏览/下载:47/0
  |  
提交时间:2021/01/14
G-expectation
Reflected backward SDE
Approximate Skorohod condition
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