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Record Nr. |
UNINA9910964413203321 |
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Autore |
Chassagneux Jean-François |
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Titolo |
A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria |
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Pubbl/distr/stampa |
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Providence : , : American Mathematical Society, , 2022 |
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©2022 |
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ISBN |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (136 pages) |
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Collana |
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Memoirs of the American Mathematical Society ; ; v.280 |
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Classificazione |
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Altri autori (Persone) |
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CrisanDan |
DelarueF (François) |
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Disciplina |
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Soggetti |
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Stochastic analysis |
Stochastic control theory |
Systems theory; control -- Stochastic systems and control -- Optimal stochastic control |
Probability theory and stochastic processes -- Stochastic analysis -- Applications of stochastic analysis (to PDE, etc.) |
Probability theory and stochastic processes -- Special processes -- Interacting random processes; statistical mechanics type models; percolation theory |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Sommario/riassunto |
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"We analyze a class of nonlinear partial differential equations (PDEs) defined on Rd P2pRdq, where P2pRdq is the Wasserstein space of probability measures on Rd with a finite second-order moment. We show that such equations admit a classical solutions for sufficiently small time intervals. Under additional constraints, we prove that their solution can be extended to arbitrary large intervals. These nonlinear PDEs arise in the recent developments in the theory of large population stochastic control. More precisely they are the so-called master equations corresponding to asymptotic equilibria for a large population of controlled players with mean-field interaction and subject to |
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