A general class of McKean-Vlasov stochastic evolution equations driven by Brownian motion and Lèvy process and controlled by Lèvy measure

N.U. Ahmed

Discussiones Mathematicae, Differential Inclusions, Control and Optimization (2016)

  • Volume: 36, Issue: 2, page 181-206
  • ISSN: 1509-9407

Abstract

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In this paper we consider McKean-Vlasov stochastic evolution equations on Hilbert spaces driven by Brownian motion and L`evy process and controlled by L`evy measures. We prove existence and uniqueness of solutions and regularity properties thereof. We consider weak topology on the space of bounded Le´vy measures on infinite dimensional Hilbert space and prove continuous dependence of solutions with respect to the Le´vy measure. Then considering a certain class of Le´vy measures on infinite as well as finite dimensional Hilbert spaces, as relaxed controls, we prove existence of optimal controls for Bolza problem and some simple mass transport problems

How to cite

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N.U. Ahmed. "A general class of McKean-Vlasov stochastic evolution equations driven by Brownian motion and Lèvy process and controlled by Lèvy measure." Discussiones Mathematicae, Differential Inclusions, Control and Optimization 36.2 (2016): 181-206. <http://eudml.org/doc/289593>.

@article{N2016,
abstract = {In this paper we consider McKean-Vlasov stochastic evolution equations on Hilbert spaces driven by Brownian motion and L`evy process and controlled by L`evy measures. We prove existence and uniqueness of solutions and regularity properties thereof. We consider weak topology on the space of bounded Le´vy measures on infinite dimensional Hilbert space and prove continuous dependence of solutions with respect to the Le´vy measure. Then considering a certain class of Le´vy measures on infinite as well as finite dimensional Hilbert spaces, as relaxed controls, we prove existence of optimal controls for Bolza problem and some simple mass transport problems},
author = {N.U. Ahmed},
journal = {Discussiones Mathematicae, Differential Inclusions, Control and Optimization},
keywords = {McKean-Vlasov stochastic differential equation; Hilbert spaces; existence of optimal controls},
language = {eng},
number = {2},
pages = {181-206},
title = {A general class of McKean-Vlasov stochastic evolution equations driven by Brownian motion and Lèvy process and controlled by Lèvy measure},
url = {http://eudml.org/doc/289593},
volume = {36},
year = {2016},
}

TY - JOUR
AU - N.U. Ahmed
TI - A general class of McKean-Vlasov stochastic evolution equations driven by Brownian motion and Lèvy process and controlled by Lèvy measure
JO - Discussiones Mathematicae, Differential Inclusions, Control and Optimization
PY - 2016
VL - 36
IS - 2
SP - 181
EP - 206
AB - In this paper we consider McKean-Vlasov stochastic evolution equations on Hilbert spaces driven by Brownian motion and L`evy process and controlled by L`evy measures. We prove existence and uniqueness of solutions and regularity properties thereof. We consider weak topology on the space of bounded Le´vy measures on infinite dimensional Hilbert space and prove continuous dependence of solutions with respect to the Le´vy measure. Then considering a certain class of Le´vy measures on infinite as well as finite dimensional Hilbert spaces, as relaxed controls, we prove existence of optimal controls for Bolza problem and some simple mass transport problems
LA - eng
KW - McKean-Vlasov stochastic differential equation; Hilbert spaces; existence of optimal controls
UR - http://eudml.org/doc/289593
ER -

References

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