Stochastic recursive optimal control of McKean-Vlasov type: a viscosity solution approach

DOI10.1016/j.jde.2024.07.015MaRDI QIDQ6615817

Liangquan Zhang

Publication date: 8 October 2024

Published in: Journal of Differential Equations (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationvalue functionviscosity solutionsWasserstein spacedynamic programming principleforward-backward McKean-Vlasov stochastic differential equations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) 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)

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