Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls
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Publication:2192745
DOI10.1214/19-AAP1521zbMath1445.35118arXiv1805.02639OpenAlexW3033842056MaRDI QIDQ2192745
Publication date: 17 August 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.02639
master equationpath dependent PDEsdynamic programming principleWasserstein spacesfunctional Itô formula
Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Viscosity solutions to PDEs (35D40)
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