화학공학소재연구정보센터
SIAM Journal on Control and Optimization, Vol.58, No.3, 1676-1699, 2020
VISCOSITY SOLUTIONS FOR CONTROLLED MCKEAN-VLASOV JUMP-DIFFUSIONS
We study a class of nonlinear integrodifferential equations on a subspace of all probability measures on the real line related to the optimal control of McKean-Vlasov jump-diffusions. We develop an intrinsic notion of viscosity solutions that does not rely on the lifting to a Hilbert space and prove a comparison theorem for these solutions. We also show that the value function is the unique viscosity solution.