Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
DOI10.1090/tran/8986zbMath1530.49029arXiv2107.10535OpenAlexW3185575300MaRDI QIDQ6145295
Huyên Pham, Andrea Cosso, Mauro Rosestolato, Idris Kharroubi, Fausto Gozzi
Publication date: 9 January 2024
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.10535
Bellman equationcomparison theoremEkeland's variational principleviscosity solutionsWasserstein space
Optimality conditions for problems involving randomness (49K45) Applications of variational problems to control theory (58E25) Viscosity solutions to PDEs (35D40) Comparison principles in context of PDEs (35B51) PDEs in connection with mean field game theory (35Q89)
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