Peter E. Caines : Cahiers : GERAD

Groupe d’études et de recherche en analyse des décisions

sept. 2017

An optimal execution problem in finance with acquisition and liquidation objectives: An MFG formulation

Dena Firoozi et Peter E. Caines

G-2017-76

jan. 2017

Mean Field Game \(\epsilon\)-Nash equilibria for partially observed optimal execution problems in finance

Dena Firoozi et Peter E. Caines

G-2017-01

nov. 2015

On the minimum principle and dynamic programming for hybrid systems with low dimensional switching manifolds

Ali Pakniyat et Peter E. Caines

G-2015-122

oct. 2010

Mean Field Stochastic Control in Radial Loss Networks: A Paradigm for Tractable Distributed Network Admission Control

Zhongjing Ma, Roland P. Malhamé et Peter E. Caines

G-2010-57

juil. 2007

On the Viscosity Solutions of Hybrid HJB Equations Arising in Loss Network System Control

Zhongjing Ma, Peter E. Caines et Roland P. Malhamé

G-2007-54

juil. 2007

Control of Loss Network Systems: Call Admission and Routing Control

Zhongjing Ma, Peter E. Caines et Roland P. Malhamé

G-2007-53

oct. 2006

Large Population Stochastic Dynamic Games: Closed-Loop McKean-Vlasov Systems and the Nash Certainty Equivalence Principle

Minyi Huang, Roland P. Malhamé et Peter E. Caines

G-2006-57

sept. 1997

Stochastic Optimal Control Under Poisson Distributed Observations

Michel Adès, Peter E. Caines et Roland P. Malhamé

G-97-63