Bellman equation and viscosity solutions for mean-field stochastic control problem

DOI10.1051/cocv/2017019zbMath1396.93134arXiv1512.07866OpenAlexW2962818191MaRDI QIDQ3177924

Huyên Pham, Xiaoli Wei

Publication date: 2 August 2018

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.07866

zbMATH Keywords

dynamic programmingBellman equationviscosity solutionsWasserstein spaceMcKean-Vlasov SDEs

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Control/observation systems governed by partial differential equations (93C20) Dynamic programming (90C39) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Vlasov equations (35Q83)

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