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Automatica, ISSN 0005-1098, 12/2017, Volume 86, pp. 104 - 109
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 04/2020, Volume 130, Issue 4, pp. 2519 - 2551
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic... 
Detecting mean-field | Interacting stochastic processes | Stochastic equation with constraints | Particle system approximation | Law of large numbers | STATISTICS & PROBABILITY | PROPAGATION
Journal Article
Transactions of the American Mathematical Society, ISSN 0002-9947, 08/2017, Volume 369, Issue 8, pp. 5467 - 5523
mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both... 
Equilibrium solution | N-person differential games | Time-inconsistency | Mean-field stochastic differential equation | Riccati equation | Linear-quadratic optimal control | Lyapunov equation | MATHEMATICS | time-inconsistency | linear-quadratic optimal control | INCONSISTENCY | GAMES | equilibrium solution | INVESTMENT
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 2009, Volume 119, Issue 10, pp. 3133 - 3154
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 10/2019, Volume 129, Issue 10, pp. 3859 - 3892
We consider a system of forward–backward stochastic differential equations (FBSDEs) with monotone functionals. We show that such a system is well-posed by the... 
Monotone functional | Mean field games with common noise | Mean field FBSDE with conditional law | Forward–backward stochastic differential equations | STATISTICS & PROBABILITY | Forward-backward stochastic differential equations | Differential equations
Journal Article
SIAM Journal on Control and Optimization, ISSN 0363-0129, 2013, Volume 51, Issue 4, pp. 2809 - 2838
Journal Article
Automatica, ISSN 0005-1098, 06/2014, Volume 50, Issue 6, pp. 1565 - 1579
Journal Article
Annals of Probability, ISSN 0091-1798, 03/2017, Volume 45, Issue 2, pp. 824 - 878
In this paper we consider a mean-field stochastic differential equation, also called Mc Kean-Vlasov equation, with initial data (t,x)is an element... 
PDE of mean-field type | Value function | Mean-field stochastic differential equation | McKean-Vlasov equation | CHAOS | DYNAMICS | value function | STATISTICS & PROBABILITY | MCKEAN-VLASOV | LIMIT | PROPAGATION
Journal Article
Nonlinear Analysis, ISSN 0362-546X, 10/2019, Volume 187, pp. 259 - 278
Journal Article
Asian Journal of Control, ISSN 1561-8625, 03/2019, Volume 21, Issue 2, pp. 809 - 823
In this paper, we study a linear‐quadratic optimal control problem for mean‐field stochastic differential equations driven by a Poisson random martingale... 
Mean‐field | optimal control | adjoint processes | feedback representation | Mean-field | Differential equations | College teachers
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 01/2020, Volume 130, Issue 1, pp. 79 - 107
Here, we prove strong well-posedness for stochastic systems of McKean–Vlasov type with Hölder drift, even in the measure argument, and uniformly non-degenerate... 
McKean–Vlasov processes | Smoothing effect | Non-linear PDE | Regularization by noise | STATISTICS & PROBABILITY | MEAN-FIELD GAMES | McKean-Vlasov processes
Journal Article
STOCHASTICS AND DYNAMICS, ISSN 0219-4937, 02/2020, Volume 20, Issue 1
We consider McKean-Vlasov stochastic differential equations (MVSDEs), which are SDEs where the drift and diffusion coefficients depend not only on the state of... 
martingale measure | mean-field control | Wasserstein metric | existence | STATISTICS & PROBABILITY | McKean-Vlasov stochastic differential equation | stability | relaxed control
Journal Article
Asian Journal of Control, ISSN 1561-8625, 11/2017, Volume 19, Issue 6, pp. 2097 - 2115
This paper deals with the risk‐sensitive control problem for mean‐field stochastic delay differential equations (MF‐SDDEs) with partial information. Firstly,... 
risk‐sensitive control | stochastic delay differential equations | Stochastic maximum principle | mean‐field type | continuous dependence theorem | risk-sensitive control | mean-field type | MAXIMUM PRINCIPLE | SYSTEMS | AUTOMATION & CONTROL SYSTEMS | Differential equations
Journal Article
Electronic Communications in Probability, ISSN 1083-589X, 2013, Volume 18, pp. 1 - 15
The purpose of this note is to provide an existence result for the solution of fully coupled Forward Backward Stochastic Differential Equations (FBSDEs) of the... 
FBSDEs | Mean field interactions | EXISTENCE | STATISTICS & PROBABILITY | Mean Field Interactions | UNIQUENESS | Probability | Mathematics
Journal Article
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