Sensitivity analysis for HJB equations with an application to a coupled backward-forward system

Kolokoltsov, Vassili and Yang, Wei (2013) Sensitivity analysis for HJB equations with an application to a coupled backward-forward system. Preprint / Working Paper. Cornell University Press, Ithaca, NY. (Unpublished)

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Abstract

In this paper, we analyse the dependence of the solution of Hamilton-Jacobi-Bellman equations on a functional parameter. This sensitivity analysis not only has the interest on its own, but also is important for the mean field games methodology, namely for solving a coupled backward-forward system. We show that the unique solution of a Hamilton-Jacobi-Bellman equation and its spacial gradient are Lipschitz continuous uniformly with respect to a functional parameter. In particular, we provide verifiable criteria for the so-called feedback regularity condition.

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• Item metadata

  Item type:	Monograph(Preprint / Working Paper)
  ID code:	43823
  Dates:	Date Event 2013 Published
  Subjects:	Science > Mathematics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	16 May 2013 09:07
  Last modified:	11 Nov 2024 16:02
  Related URLs:	Related item
  URI:	https://strathprints.strath.ac.uk/id/eprint/43823