VISCOSITY SOLUTIONS FOR CONTROLLED MCKEAN-VLASOV JUMP-DIFFUSIONS.
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| 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 |
| FullText | Text: Availability: 0 |
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| Header | DbId: egs DbLabel: Engineering Source An: 148461880 AccessLevel: 6 PubType: Academic Journal PubTypeId: academicJournal PreciseRelevancyScore: 0 |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1137/19M1290061 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 24 StartPage: 1676 Subjects: – SubjectFull: Integro-differential equations Type: general – SubjectFull: Intrinsic viscosity Type: general – SubjectFull: Nonlinear equations Type: general – SubjectFull: Hilbert space Type: general – SubjectFull: Probability measures Type: general – SubjectFull: Viscosity solutions Type: general Titles: – TitleFull: VISCOSITY SOLUTIONS FOR CONTROLLED MCKEAN-VLASOV JUMP-DIFFUSIONS. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: BURZONI, MATTEO – PersonEntity: Name: NameFull: IGNAZIO, VINCENZO – PersonEntity: Name: NameFull: REPPEN, A. MAX – PersonEntity: Name: NameFull: SONER, H. M. IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 06 Text: 2020 Type: published Y: 2020 Identifiers: – Type: issn-print Value: 03630129 Numbering: – Type: volume Value: 58 – Type: issue Value: 3 Titles: – TitleFull: SIAM Journal on Control & Optimization Type: main |
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