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Mathematical Finance and Probability Seminars

Viscosity solutions for controlled McKean–Vlasov jump-diffusions

Max Reppen - Princeton University

Location:  Hill 425
Date & time: Tuesday, 01 October 2019 at 11:50AM - 12:50PM

Abstract:  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.

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