Viscosity solutions for controlled McKean-Vlasov jump-diffusions
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Publication:3300786
DOI10.1137/19M1290061zbMATH Open1472.49054arXiv1909.12337OpenAlexW3037345507MaRDI QIDQ3300786FDOQ3300786
Authors: Matteo Burzoni, Vincenzo Ignazio, H. Mete Soner 
Publication date: 30 July 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: We study a class of non linear integro-differential equations on the Wasserstein space related to the optimal control of McKean--Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting to an Hilbert space and prove a comparison theorem for these solutions. We also show that the value function is the unique viscosity solution.
Full work available at URL: https://arxiv.org/abs/1909.12337
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Wasserstein spaceoptimal controlviscosity solutionsprobability measuresnonlinear integro-differential equationsMcKean-Vlasov jump-diffusions
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Probability measures on topological spaces (60B05) Diffusion processes (60J60) Integro-partial differential equations (45K05) Viscosity solutions to PDEs (35D40) Optimality conditions for problems involving randomness (49K45) Jump processes on general state spaces (60J76)
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