Mathematical Finance and Probability Seminars

Viscosity solutions for controlled McKean–Vlasov jump-diffusions

Tuesday, October 01, 2019 at 11:50am - 12:50pm

Max Reppen - Princeton University

We study a class of nonlinear integro-differential equations on the Wasserstein space 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 an Hilbert space and prove a comparison theorem for these solutions. We also show that the value function is the unique viscosity solution.
Location   Hill 425