Work

On the system of partial differential equations arising in mean field type control

Year: 2015

Type: article

Abstract: We discuss the system of Fokker-Planck and Hamilton-Jacobi-Bellman equations arisingfrom the finite horizon control of McKean-Vlasov dynamics. We give examples of existence and uniqueness results. Finally, we propose some simple models for the motion of pedestrians and report about numerical simulations in which we compare mean filed games and mean field type control.

Source: Discrete and Continuous Dynamical Systems

DOI: 10.3934/dcds.2015.35.3879

Authors: Yves Achdou, Mathieu Laurière

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: City University of Hong Kong, Agence Nationale de la Recherche

Awards: G3876488550, Interacting Systems and Optimal Transportation, Applications to Computational Economics., G6702880738, Hamilton-Jacobi equations on heterogeneous structures and networks

OpenAlex ID: W2140283952

FWCI: 12.74

Cites: 19

Cited by: 48

Related to: 10