Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension
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Publication:6165243
DOI10.1214/22-aap1880zbMath1520.93608arXiv2012.14772OpenAlexW3116840983MaRDI QIDQ6165243
Andrea Cosso, Mauro Rosestolato, Huyên Pham, Fausto Gozzi, Idris Kharroubi
Publication date: 31 July 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.14772
viscosity solutionsfunctional Itô calculusdynamic programming principlemaster Bellman equationpath-dependent McKean-Vlasov SDEs in Hilbert spacepathwise measure derivative
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items (4)
On smooth approximations in the Wasserstein space ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions ⋮ A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
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