Finite Dimensional Approximations of Hamilton–Jacobi–Bellman Equations for Stochastic Particle Systems with Common Noise

DOI10.1137/22m1489186zbMath1512.35155OpenAlexW4367311981MaRDI QIDQ6042792

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

zbMATH Keywords

master equationviscosity solutionsstochastic particle systemsWasserstein spacemean field controlHamilton-Jacobi-Bellman equations in infinite dimensionWasserstein Laplacian

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Mean field games and control (49N80)

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