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We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion processes. Using the standard notion of viscosity solution {`a} la Crandall-Lions extended to our Wasserstein setting, we prove a comparison result under general conditions, which coupled with the dynamic programming principle, implies that the value function is the unique viscosity solution of the Master Bellman equation. This is the first uniqueness result in such a second-order context. The classical arguments used in the standard cases of equations in finite-dimensional spaces or in infinite-dimensional separable Hilbert spaces do not extend to the present framework, due to the awkward nature of the underlying Wasserstein space. The adopted strategy is based on finite-dimensional approximations of the value function obtained in terms of the related cooperative n-player game, and on the construction of a smooth gauge-type function, built starting from a regularization of a sharpe estimate of the Wasserstein metric; such a gauge-type function is used to generate maxima/minima through a suitable extension of the Borwein-Preiss generalization of Ekelands variational principle on the Wasserstein space.
We prove existence and uniqueness of Crandall-Lions viscosity solutions of Hamilton-Jacobi-Bellman equations in the space of continuous paths, associated to the optimal control of path-dependent SDEs. This seems the first uniqueness result in such a
This paper is a review of results on Optimisation which are perhaps not so standard in the PDE realm. To this end, we consider the problem of deriving the PDEs associated to the optimal control of a system of either ODEs or SDEs with respect to a vec
We study a hybrid control system in which both discrete and continuous controls are involved. The discrete controls act on the system at a given set interface. The state of the system is changed discontinuously when the trajectory hits predefined set
In quantitative genetics, viscosity solutions of Hamilton-Jacobi equations appear naturally in the asymptotic limit of selection-mutation models when the population variance vanishes. They have to be solved together with an unknown function I(t) that
We show that the Hunter-Saxton equation $u_t+uu_x=frac14big(int_{-infty}^x dmu(t,z)- int^{infty}_x dmu(t,z)big)$ and $mu_t+(umu)_x=0$ has a unique, global, weak, and conservative solution $(u,mu)$ of the Cauchy problem on the line.