Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain-Reference-Cited by-同舟云学术

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Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain

Published:2024-10 Issue: Volume:192 Page:105895
ISSN:0167-6911
Container-title:Systems & Control Letters
language:en
Short-container-title:Systems & Control Letters

Author:

Chen Tian^ORCID,Li Guanxu^ORCID,Wu Zhen^ORCID

Funder

Shandong Province Natural Science Foundation

Ministry of Science and Technology of the People's Republic of China

Taishan Scholar Foundation of Shandong Province

National Natural Science Foundation of China

National Natural Science Foundation of China-Yunnan Joint Fund

Shanxi Scholarship Council of China

Taishan Scholar Project of Shandong Province

National Key Clinical Specialty Discipline Construction Program of China

Publisher

Elsevier BV

Reference39 articles.

1. Mean field games;Lasry;Jap. J. Math.,2007

2. Large population stochastic dynamic games: closed-loop mckean-vlasov systems and the Nash certainty equivalence principle;Huang;Commun. Inf. Syst.,2006

3. Optimal investment under relative performance concerns;Espinosa;Math. Finance,2015

4. Probabilistic theory of mean field games with applications I-II;Carmona,2018

5. Mean field and n-agent games for optimal investment under relative performance criteria;Lacker;Math. Finance,2019

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