Control problem on space of random variables and master equation

DOI10.1051/cocv/2018034zbMath1450.35305arXiv1508.00713OpenAlexW2963359377MaRDI QIDQ5107913

Sheung Chi Phillip Yam, Alain Bensoussan

Publication date: 29 April 2020

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

Full work available at URL: https://arxiv.org/abs/1508.00713

zbMATH Keywords

master equationsWasserstein spacemean field theorylinear quadratic settingrandom forward-backward differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games and control (49N70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Limit theorems in probability theory (60F99) PDEs in connection with mean field game theory (35Q89)

Related Items (10)

A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria ⋮ Control in Hilbert Space and First-Order Mean Field Type Problem ⋮ Mean-field-type games with jump and regime switching ⋮ Linear-quadratic mean field games of controls with non-monotone data ⋮ Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise ⋮ Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls ⋮ Large population games with interactions through controls and common noise: convergence results and equivalence between open-loop and closed-loop controls ⋮ Stochastic Control with Delayed Information and Related Nonlinear Master Equation ⋮ Mean field games master equations with nonseparable Hamiltonians and displacement monotonicity ⋮ Finite Dimensional Approximations of Hamilton--Jacobi--Bellman Equations in Spaces of Probability Measures

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