This paper continues the study of the mean field game (MFG) convergence problem: In what
sense do the Nash equilibria of n-player stochastic differential games converge to the mean …

We study a McKean–Vlasov optimal control problem with common noise in order to
establish the corresponding limit theory as well as the equivalence between different …

We consider a contracting problem in which a principal hires an agent to manage a risky
project. When the agent chooses volatility components of the output process and the …

We develop a general construction for nonlinear Lévy processes with given characteristics.
More precisely, given a set $\Theta $ of Lévy triplets, we construct a sublinear expectation …

We study a continuous‐time financial market with continuous price processes under model
uncertainty, modeled via a family of possible physical measures. A robust notion of no …

We study the problem of demand response contracts in electricity markets by quantifying the
impact of considering a continuum of consumers with mean–field interaction, whose …

We study a robust portfolio optimization problem under model uncertainty for an investor
with logarithmic or power utility. The uncertainty is specified by a set of possible Lévy triplets …

We consider a stochastic control problem for a class of nonlinear kernels. More precisely,
our problem of interest consists in the optimization, over a set of possibly nondominated …

We examine optimization problems in which an investor has the opportunity to trade in $ d $
stocks with the goal of maximizing her worst-case cost of cumulative gains and losses. Here …

In the presence of a common noise, we study the convergence problems in mean field game
(MFG) and mean field control (MFC) problem where the cost function and the state dynamics …