Parabolic Bellman Equations with Risk Control

DOI10.1137/17M1122839zbMath1398.35113OpenAlexW2802385514MaRDI QIDQ4636349

Jens Frehse, Dominic Breit, Alain Bensoussan

Publication date: 19 April 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1122839

zbMATH Keywords

nonlinear parabolic equationsstochastic differential gamesBellman equationsmean field dependencerisk control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Smoothness and regularity of solutions to PDEs (35B65) Nonlinear parabolic equations (35K55) Maximum principles in context of PDEs (35B50) Optimal stochastic control (93E20) PDEs in connection with control and optimization (35Q93)

Cites Work

• Strongly coupled elliptic equations related to mean-field games systems
• Parabolic Bellman-systems with mean field dependence
• \(L^p\) estimates for parabolic equations in Reifenberg domains
• Mean field games
• Elliptic partial differential equations of second order
• Regularity results for nonlinear elliptic systems and applications
• Weak solutions to Fokker-Planck equations and mean field games
• On the planning problem for the mean field games system
• Smooth Solutions of systems of quasilinear parabolic equations
• Mean Field Games and Mean Field Type Control Theory
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