A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria

We analyze a class of nonlinear partial differential equations (PDEs) defined on

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Hauptverfasser: Chassagneux, Jean-François, Crisan, Dan, Delarue, François
Format: E-Book Buch
Sprache:Englisch
Veröffentlicht: Providence, Rhode Island American Mathematical Society 2022
Ausgabe:1
Schriftenreihe:Memoirs of the American Mathematical Society
Schlagworte:
Stochastic analysis
Stochastic control theory
forward-backward systems
Master equation
decoupling field
McKean-Vlasov SDEs
Wasserstein space
ISBN:9781470453756, 1470453754
ISSN:0065-9266, 1947-6221
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Abstract We analyze a class of nonlinear partial differential equations (PDEs) defined on
AbstractList We analyze a class of nonlinear partial differential equations (PDEs) defined on
View the abstract.
Author Chassagneux, Jean-François
Delarue, François
Crisan, Dan
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  fullname: Crisan, Dan
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  fullname: Delarue, François
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Copyright Copyright 2022 American Mathematical Society
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Keywords forward-backward systems
Master equation
decoupling field
McKean-Vlasov SDEs
Wasserstein space
LCCN 2022048387
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Notes November 2022, volume 280, number 1379 (second of 8 numbers)
Other authers: Dan Crisan, François Delarue
Includes bibliographical references (p. 121-123)
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Snippet We analyze a class of nonlinear partial differential equations (PDEs) defined on
View the abstract.
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SubjectTerms Stochastic analysis
Stochastic control theory
TableOfContents Introduction -- General step-up and overview of the results -- Chain rule – application to uniqueness of classical solutions -- Smoothness of the decoupling field and existence of classical solutions for small time horizons -- Large population stochastic control and global in time existence and uniqueness results -- Appendix
Title A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria
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