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Vassili Kolokoltsov (University of Warwick)
Thursday 21 April 2022, 13:30-14:30
Fractional forward-backward systems of Banach-space valued HJB and McKean-Vlasov equations arising in fractional mean-field games
- đ¤ Speaker: Vassili Kolokoltsov (University of Warwick)
- đ Date & Time: Thursday 21 April 2022, 13:30 - 14:30
- đ Venue: Seminar Room 1, Newton Institute
Abstract
We introduce a class of abstract nonlinear fractional pseudo-differential equations in Banach spaces that includes both the Mc-Kean-Vlasov-type equations describing nonlinear Markov processes and the Hamilton-Jacobi-Bellman(HJB)-Isaacs equation of stochastic control and games thus allowing for a unified analysis of these equations. This leads to an effective theory of coupled forward-backward systems (forward McKean-Vlasov evolution and backward HJB -Isaacs evolution) that are central to the modern theory of mean-field games. Related questions concern the study of Hilbert-space valued Mc-Kean-Vlasov diffusion. The estimates of growth are shown to be expressed (even for non-fractional diffusions) in terms of the Mittag-Leffler and Le Roy functions. (Based on the joint work with M.S. Troeva).
Series This talk is part of the Isaac Newton Institute Seminar Series series.
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