Bibliographic Details
| Title: |
VISCOSITY SOLUTIONS FOR CONTROLLED MCKEAN-VLASOV JUMP-DIFFUSIONS. |
| Authors: |
BURZONI, MATTEO1 matteo.burzoni@maths.ox.ac.uk, IGNAZIO, VINCENZO2 vincenzo.ignazio@math.ethz.ch, REPPEN, A. MAX3 areppen@princeton.edu, SONER, H. M.3 soner@princeton.edu |
| Source: |
SIAM Journal on Control & Optimization. 2020, Vol. 58 Issue 3, p1676-1699. 24p. |
| Subjects: |
Integro-differential equations, Intrinsic viscosity, Nonlinear equations, Hilbert space, Probability measures, Viscosity solutions |
| Abstract: |
We study a class of nonlinear integrodifferential equations on a subspace of all probability measures on the real line related to the optimal control of McKean-Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting to a Hilbert space and prove a comparison theorem for these solutions. We also show that the value function is the unique viscosity solution. [ABSTRACT FROM AUTHOR] |
|
Copyright of SIAM Journal on Control & Optimization is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) |
| Database: |
Engineering Source |
