Department of Mathematics - Seminar on Financial Mathematics - Second-order PDEs on Wasserstein Space
11:00am - 12:00pm
Room 4502 (near Lift 25/26)
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Mean-field control with common noise and filtering problems naturally lead to second-order PDEs on Wasserstein space. In this talk, we analyze a class of such equations in which the second-order operator is finite-dimensional in nature. We establish comparison principles and apply them to obtain particle convergence rates in mean-field control. The talk is based on joint work with Erhan Bayraktar, Ibrahim Ekren, and Xihao He.
Event Format
Language
English
Recommended For
Faculty and staff
General public
PG students
UG students
Organizer
Department of Mathematics