Fokker-Planck equations of jumping particles and mean field games of impulse control
Bertucci, Charles (2018), Fokker-Planck equations of jumping particles and mean field games of impulse control. https://basepub.dauphine.fr/handle/123456789/17959
TypeDocument de travail / Working paper
External document linkhttps://hal.archives-ouvertes.fr/hal-01731631
Series titleCahier de recherche CEREMADE, Université Paris-Dauphine
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)This paper is interested in the description of the density of particles evolving according to some optimal policy of an impulse control problem. We first fix sets on which the particles jump and explain how we can characterize such a density. We then investigate the coupled case in which the underlying impulse control problem depends on the density we are looking for : the mean field games of impulse control. In both cases, we give a variational characterization of the densities of jumping particles.
Subjects / Keywordsmean field games of impulse control; jumping particles
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