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math.OC2015
Control Problem on Space of Random Variables and Master Equation
Alain Bensoussan, Phillip Yam
We study in this paper a control problem in a space of random variables. We show that its Hamilton Jacobi Bellman equation is related to the Master equation in Mean field theory. P…
math.OC2015
On The Interpretation Of The Master Equation
Alain Bensoussan, Jens Frehse, Phillip Yam
Since its introduction by P.L. Lions in his lectures and seminars at the College de France, see [9], and also the very helpful notes of Cardialaguet [4] on Lions' lectures, the Mas…