Entropic Optimal Planning for Path-Dependent Mean Field Games-Reference-Cited by-同舟云学术

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Entropic Optimal Planning for Path-Dependent Mean Field Games

Published:2023-06-12 Issue:3 Volume:61 Page:1415-1437
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Ren Zhenjie¹^ORCID,Tan Xiaolu²,Touzi Nizar³,Yang Junjian⁴

Affiliation:

1. CEREMADE, Université; Paris-Dauphine, Paris 75016, France.

2. Department of Mathematics, Chinese University of Hong Kong, Shatin, N.T., Hong Kong.

3. CMAP, Ecole Polytechnique, 91128 Palaiseau Cedex 91128, France.

4. FAM, Fakultät für Mathematik und Geoinformation, Vienna University of Technology, A-1040 Vienna, Austria.

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Reference26 articles.

1. Mean Field Games: Numerical Methods for the Planning Problem

2. Martingale Benamou–Brenier: A probabilistic perspective

3. Model-independent bounds for option prices—a mass transport approach

4. An entropy minimization approach to second-order variational mean-field games

5. Dynamic programming approach to principal–agent problems

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1. An exit contract optimization problem;ESAIM: Control, Optimisation and Calculus of Variations;2023

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