Mean Field Control with Partial Information

Project: Research

1 - 17 out of 17Page size: 20

Research Output

  1. 2022
  2. Published

    Inter-temporal mutual-fund management

    Bensoussan, A., Cheung, K. C., Li, Y. & Yam, S. C. P., Jul 2022, In: Mathematical Finance. 32, 3, p. 825-877

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  3. Published

    Dynamic mean-variance problem with frictions

    Bensoussan, A., Ma, G., Siu, C. C. & Yam, S. C. P., Apr 2022, In: Finance and Stochastics. 26, 2, p. 267–300

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 9
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  4. Published

    A Risk Extended Version of Merton's Optimal Consumption and Portfolio Selection

    Bensoussan, A., Hoe, S., Kim, J. & Yan, Z., Mar 2022, In: Operations Research. 70, 2, p. 815-829

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 3
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  5. Published

    Machine learning and control theory

    Bensoussan, A., Li, Y., Nguyen, D. P. C., Tran, M.-B., Yam, S. C. P. & Zhou, X., 2022, Handbook of Numerical Analysis. Trélat, E. & Zuazua, E. (eds.). Elsevier B.V., Vol. 23. p. 531-558

    Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

    Scopus citations: 9
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  6. 2021
  7. Published

    Mathematical formulation of a dynamical system with dry friction subjected to external forces

    Bensoussan, A., Brouste, A., Cartiaux, F. B., Mathey, C. & Mertz, L., Jul 2021, In: Physica D: Nonlinear Phenomena. 421, 132859.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 3
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  8. Published

    Identification of Linear Dynamical Systems and Machine Learning

    Bensoussan, A., Gelir, F., Ramakrishna, V. & Tran, M.-B., May 2021, In: Journal of Convex Analysis. 28, 2, p. 311-328 08886.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  9. Published

    Systems of quasilinear parabolic equations in ℝn and systems of quadratic backward stochastic differential equations

    Bensoussan, A., Frehse, J. & Yam, S. C. P., May 2021, In: Journal des Mathematiques Pures et Appliquees. 149, p. 135-185

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  10. Published

    Linear-quadratic-gaussian mean-field-game with partial observation and common noise

    Bensoussan, A., Feng, X. & Huang, J., Mar 2021, In: Mathematical Control and Related Fields. 11, 1, p. 23-46

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 16
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  11. 2020
  12. Published

    Capital Accumulation with Constraint: A Mean Field Type Control Framework

    Bensoussan, A., (Celine) Hoe, S. & Yan, Z., 2020, In: Markov Processes and Related Fields. 26, 4, p. 553-566

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  13. 2019
  14. Published

    Control problem on space of random variables and master equation

    BENSOUSSAN, A. & YAM, S. C. P., 2019, In: ESAIM - Control, Optimisation and Calculus of Variations. 25, 10.

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 20
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  15. FEEDBACK STACKELBERG–NASH EQUILIBRIA IN MIXED LEADERSHIP GAMES WITH AN APPLICATION TO COOPERATIVE ADVERTISING

    BENSOUSSAN, A., CHEN, S., CHUTANI, A., SETHI, S. P., SIU, C. C. & YAM, S. C. P., 2019, In: SIAM Journal on Control and Optimization. 57, 5, p. 3413-3444

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 24
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  16. 2018
  17. Published

    Bellman Systems with Mean Field Dependent Dynamics

    BENSOUSSAN, A., BULÍČEK, M. & FREHSE, J., May 2018, In: Chinese Annals of Mathematics. Series B. 39, 3, p. 461-486

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  18. Published

    Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities

    Bensoussan, A., Li, Y. & Yam, S. C. P., Feb 2018, In: Stochastic Processes and their Applications. 128, 2, p. 644-688

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 5
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  19. Published

    Parabolic bellman equations with risk control

    BENSOUSSAN, A., BREIT, D. & FREHSE, J., 2018, In: SIAM Journal on Control and Optimization. 56, 2, p. 1535-1549

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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  20. 2017
  21. Published

    On the interpretation of the Master Equation

    Bensoussan, A., Frehse, J. & Yam, S. C. P., Jul 2017, In: Stochastic Processes and their Applications. 127, 7, p. 2093-2137

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 56
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  22. Published

    Linear-Quadratic Mean Field Stackelberg Games WIth State and Control Delays

    BENSOUSSAN, A., CHAU, M. H. M., LAI, Y. & YAM, S. C. P., 2017, In: SIAM Journal on Control and Optimization. 55, 4, p. 2748-2781

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 32
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  23. 2016

  24. Mean-Field-Game Model for Botnet Defense in Cyber-Security

    Kolokoltsov, V. N. & Bensoussan, A., Dec 2016, In: Applied Mathematics and Optimization. 74, 3, p. 669-692

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 42
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