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math.AP2021
Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions
Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2
We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion p…
math.AP2019★ 5 cited
Crandall-Lions Viscosity Solutions for Path-Dependent PDEs: The Case of Heat Equation
Andrea Cosso, Francesco Russo
We address our interest to the development of a theory of viscosity solutions {à} la Crandall-Lions for path-dependent partial differential equations (PDEs), namely PDEs in the spa…