functional It\^{o} formula

Wednesday, June 13, 2018 - 2:00pm - 3:00pm
Jianfeng Zhang (University of Southern California)
Master equation is a powerful tool for studying McKean-Vlasov dynamics where the distribution of the state process enters the coefficients directly, with particular applications including mean field games and stochastic control problems with partial information. In this talk we propose an intrinsic notion of viscosity solution for parabolic master equations, which corresponds to the control problems, and investigate its wellposedness.
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