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Trudy Instituta Matematiki i Mekhaniki UrO RAN, 2021, Volume 27, Number 3, Pages 87–100
DOI: https://doi.org/10.21538/0134-4889-2021-27-3-87-100
(Mi timm1840)
 

Fractional McKean–Vlasov and Hamilton–Jacobi–Bellman–Isaacs Equations

V. N. Kolokoltsovabc, M. S. Troevad

a National Research University "Higher School of Economics", Moscow
b Saint Petersburg State University
c Federal Research Center "Computer Science and Control" of Russian Academy of Sciences, Moscow
d North-Eastern Federal University named after M. K. Ammosov
References:
Abstract: We study a class of abstract nonlinear fractional pseudo-differential equations in Banach spaces that includes both the McKean–Vlasov type equations describing nonlinear Markov processes and the Hamilton–Jacobi–Bellman–Isaacs (HJB–Isaacs) equations of stochastic control and games. This approach allows us to develop a unified analysis of these equations. We establish their well-posedness in the sense of classical solutions and prove the continuous dependence of the solutions on the initial data. The obtained results are extended to the case of generalized fractional equations.
Keywords: fractional McKean–Vlasov type equations, fractional HJB–Isaacs equations, mild solutions, classical solutions, Caputo–Djrbashian fractional derivative, generalized fractional derivatives.
Funding agency Grant number
Russian Science Foundation 20-11-20119
Ministry of Science and Higher Education of the Russian Federation FSRG-2020-0006
The work of V.N. Kolokoltsov (Sections 1, 4, and 5) was supported by the Russian Science Foundation (project no. 20-11-20119), and the work of M.S. Troeva (Sections 2, 3, and 6) was supported by the Ministry of Science and Higher Education of the Russian Federation (project no. FSRG-2020-0006).
Received: 30.04.2021
Revised: 21.06.2021
Accepted: 19.07.2021
English version:
Proceedings of the Steklov Institute of Mathematics (Supplementary issues), 2021, Volume 315, Issue 1, Pages S165–S177
DOI: https://doi.org/10.1134/S0081543821060134
Bibliographic databases:
Document Type: Article
UDC: 517.955+517.968.4+517.986.7
MSC: 34A08, 35S15, 45G15
Language: Russian
Citation: V. N. Kolokoltsov, M. S. Troeva, “Fractional McKean–Vlasov and Hamilton–Jacobi–Bellman–Isaacs Equations”, Trudy Inst. Mat. i Mekh. UrO RAN, 27, no. 3, 2021, 87–100; Proc. Steklov Inst. Math. (Suppl.), 315, suppl. 1 (2021), S165–S177
Citation in format AMSBIB
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\by V.~N.~Kolokoltsov, M.~S.~Troeva
\paper Fractional McKean--Vlasov and Hamilton--Jacobi--Bellman--Isaacs Equations
\serial Trudy Inst. Mat. i Mekh. UrO RAN
\yr 2021
\vol 27
\issue 3
\pages 87--100
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\jour Proc. Steklov Inst. Math. (Suppl.)
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\pages S165--S177
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