03903nam 22005893 450 991096441320332120251117113951.097814704727951470472791(MiAaPQ)EBC30222572(Au-PeEL)EBL30222572(CKB)25289765900041(OCoLC)1350687926(EXLCZ)992528976590004120221110d2022 uy 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierA Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria1st ed.Providence :American Mathematical Society,2022.©2022.1 online resource (136 pages)Memoirs of the American Mathematical Society ;v.280Print version: Chassagneux, Jean-François A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria Providence : American Mathematical Society,c2022 9781470453756 "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 minimization constraints. The results in the paper are deduced by exploiting this connection. In particular, we study the differentiability with respect to the initial condition of the flow generated by a forward-backward stochastic system of McKean-Vlasov type. As a byproduct, we prove that the decoupling field generated by the forward-backward system is a classical solution of the corresponding master equation. Finally, we give several applications to meanfield games and to the control of McKean-Vlasov diffusion processes"--Provided by publisher.Memoirs of the American Mathematical Society Stochastic analysisStochastic control theorySystems theory; control -- Stochastic systems and control -- Optimal stochastic controlmscProbability theory and stochastic processes -- Stochastic analysis -- Applications of stochastic analysis (to PDE, etc.)mscProbability theory and stochastic processes -- Special processes -- Interacting random processes; statistical mechanics type models; percolation theorymscStochastic 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.519.2/2519.2293E2060H3060K35mscChassagneux Jean-François0Crisan Dan524271Delarue F(François)1864712MiAaPQMiAaPQMiAaPQBOOK9910964413203321A Probabilistic Approach to Classical Solutions of the Master Equation for Large Population Equilibria4471617UNINA