scholarly journals Fluctuation limits for mean-field interacting nonlinear Hawkes processes

Author(s):  
Sophie Heesen ◽  
Wilhelm Stannat
Keyword(s):  
Bernoulli ◽  
2022 ◽  
Vol 28 (1) ◽  
Author(s):  
Xavier Erny ◽  
Eva Löcherbach ◽  
Dasha Loukianova

2020 ◽  
Vol 56 (3) ◽  
pp. 1958-1990
Author(s):  
Mads Bonde Raad ◽  
Susanne Ditlevsen ◽  
Eva Löcherbach

2016 ◽  
Vol 10 (1) ◽  
pp. 1223-1295 ◽  
Author(s):  
Sylvain Delattre ◽  
Nicolas Fournier

2020 ◽  
Vol 26 ◽  
pp. 41
Author(s):  
Tianxiao Wang

This article is concerned with linear quadratic optimal control problems of mean-field stochastic differential equations (MF-SDE) with deterministic coefficients. To treat the time inconsistency of the optimal control problems, linear closed-loop equilibrium strategies are introduced and characterized by variational approach. Our developed methodology drops the delicate convergence procedures in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. When the MF-SDE reduces to SDE, our Riccati system coincides with the analogue in Yong [Trans. Amer. Math. Soc. 369 (2017) 5467–5523]. However, these two systems are in general different from each other due to the conditional mean-field terms in the MF-SDE. Eventually, the comparisons with pre-committed optimal strategies, open-loop equilibrium strategies are given in details.


Sign in / Sign up

Export Citation Format

Share Document