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.