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.