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
LanguageEnglish
Published Providence, Rhode Island American Mathematical Society 2022
Edition1
SeriesMemoirs of the American Mathematical Society
Subjects
Stochastic analysis
Stochastic control theory
forward-backward systems
Master equation
decoupling field
McKean-Vlasov SDEs
Wasserstein space
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Cover

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