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math.PR2018★ 10 cited
Viscosity Solutions to Parabolic Master Equations and McKean-Vlasov SDEs with Closed-loop Controls
Cong Wu, Jianfeng Zhang
The master equation is a type of PDE whose state variable involves the distribution of certain underlying state process. It is a powerful tool for studying the limit behavior of la…
math.PR2017★ 3 cited
An Elementary Proof for the Structure of Wasserstein Derivatives
Cong Wu, Jianfeng Zhang
Let be a law invariant and continuously Fréchet differentiable mapping. Based on Lions \cite{Lions}, Cardaliaguet \cite{Cardaliaguet…