Optimal control of piecewise deterministic McKean-Vlasov processes

Bandini Elena, Università di Bologna

We formulate an optimal control problem for piecewise deterministic processes whose characteristics all depend on the law of the process itself. Once this is achieved, we characterize the value function as a viscosity solution of a suitable Hamilton Jacobi Bellman equation on the Wasserstein space.

Area: IS7 - Stochastic optimal control of McKean-Vlasov equations (Elena Bandini)

Keywords: McKean-Vlasov PDP, infinite dimensional HJB equation, viscosity solutions.