| Wednesday, 17.04.2024 | |
| Type | seminar in the framework of the PDE Afternoon |
| Time | 14:00 - 14:45 |
| Place | University of Vienna, Faculty of Mathematics, Oskar-Morgenstern-Platz 1, Vienna (map) |
| Room | HS 2, ground floor - how to get there |
| Speaker | (University of Vienna) |
| Title | Stochastic McKean-Vlasov control problems: a description based on optimal transport |
| Abstract | We study the convergence of an N-particle Markovian controlled system to the solution of some (finite horizon or Schrödinger-type) stochastic McKean-Vlasov control problem. In particular, under suitable assumptions, we prove the convergence of the value functions, of the fixed time probability laws and of the relative entropy in their path space measures. These proofs are based on a Benamou-Brenier type reformulation of the problem and on the superposition principle, both these tools coming from the theory of optimal transport. This is a joint work with Francesco De Vecchi. |
| Notes | This event takes place in hybrid form (in person and online on Zoom). Slides and additional materials are available on the Moodle service of the University of Vienna. If you want to participate, please write an email to matteo.tommasini@univie.ac.at. Further details are available at this link. |
| Attachment | link |
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