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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Bibliographic Details
Main Authors: Chassagneux, Jean-François, Crisan, Dan, Delarue, François
Format: eBook Book
Language:English
Published: Providence, Rhode Island American Mathematical Society 2022
Edition:1
Series:Memoirs of the American Mathematical Society
Subjects:
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
Online Access:Get full text
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Table of Contents:
  • 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