Viscosity Solutions for Obstacle Problems on Wasserstein Space

DOI10.1137/22m1488119zbMath1515.60112arXiv2203.17162OpenAlexW4226526072MaRDI QIDQ6107859

Nizar Touzi, Jianfeng Zhang, Unnamed Author

Publication date: 28 June 2023

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.17162

zbMATH Keywords

obstacle problemsviscosity solutionsmean field optimal stopping

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Mean field games and control (49N80) PDEs in connection with mean field game theory (35Q89)

Related Items (2)

On smooth approximations in the Wasserstein space ⋮ Dynamic Programming Equation for the Mean Field Optimal Stopping Problem

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