Laboratoire Jean-Alexandre Dieudonné

Stochastic Optimal Control for Systems with Drifts of Bounded Variation: A Maximum Principle Approach

Abstract. We study a stochastic control problem for nonlinear systems governed by stochastic differential equations (SDEs) with irregular drift. The drift coefficient is assumed to decompose as [Formula: see text], where [Formula: see text] is bounded and Borel measurable, [Formu...

Noise through an Additional Variable for Mean Field Games Master Equation on Finite State Space

Abstract. This paper provides a mathematical study of the well-posedness of a master equation with terms modeling common noise on finite state space. In this setting, the solution of the master equation depends on an additional variable modeling the value of a stochastic process...