Event Details
Viscosity solutions for controlled McKean–Vlasov jump-diffusions
- Event Date: October 1, 2019
- Event End Date: October 1, 2019
- Event Start Time: 11:50 AM
- Event End Time: 12:50 PM
- Event Location: Hill 425
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: 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.