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 (Unpublished)
Preview |
PDF.
Filename: 1303.6234v1.pdf
Preprint Download (234kB)| Preview |
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.
-
-
Item type: Monograph(Preprint / Working Paper) ID code: 43823 Dates: DateEvent2013PublishedSubjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 16 May 2013 09:07 Last modified: 25 Jul 2024 00:47 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/43823