On the interpretation of the Master Equation

Stochastic Processes and their Applications

Volumn 127, Issue 7, 2017, Pages 2093-2137

  Bensoussan, A ^a,b   Frehse, J ^c   Yam, S C P ^d  

^a UNIVERSITY OF TEXAS AT DALLAS   (United States)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c UNIVERSITY OF BONN   (Germany)

^d CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Fokker Planck equation; Functionals of probability measures; Hamilton Jacobi Bellman equation; Master equation; Mean field games; Mean field type control

Indexed keywords

DYNAMIC PROGRAMMING;

BELLMAN EQUATIONS; MASTER EQUATIONS; MEAN FIELD; MEAN FIELD GAMES; PLANCK EQUATION; PROBABILITY MEASURES;

FOKKER PLANCK EQUATION;

EID: 85018981679     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2016.10.004     Document Type: Article

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