Fokker-Planck equations of jumping particles and mean field games of impulse control
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Publication:2214927
Abstract: This paper is interested in the description of the density of particles evolving according to some optimal policy of an impulse control problem. We first fix sets on which the particles jump and explain how we can characterize such a density. We then investigate the coupled case in which the underlying impulse control problem depends on the density we are looking for : the mean field games of impulse control. In both cases, we give a variational characterization of the densities of jumping particles.
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Cited in
(14)- Monotone solutions for mean field games master equations: finite state space and optimal stopping
- HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
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