Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise
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Publication:6042792
DOI10.1137/22M1489186zbMATH Open1512.35155OpenAlexW4367311981MaRDI QIDQ6042792FDOQ6042792
Authors: Sergio Mayorga, Andrzej Świȩch 
Publication date: 4 May 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/22m1489186
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Wasserstein spaceviscosity solutionsmaster equationstochastic particle systemsmean field controlHamilton-Jacobi-Bellman equations in infinite dimensionWasserstein Laplacian
Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Mean field games and control (49N80)
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Cited In (5)
- Well-posedness for Hamilton-Jacobi equations on the Wasserstein space on graphs
- Finite dimensional approximations of Hamilton-Jacobi-Bellman equations in spaces of probability measures
- A finite-dimensional approximation for partial differential equations on Wasserstein space
- Equivalence between strict viscosity solution and viscosity solution in the Wasserstein space and regular extension of the Hamiltonian in \(L^2_{\mathbb{P}}\)
- Optimal control of stochastic delay differential equations: optimal feedback controls
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