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arXiv · 2207.11422

McKean-Vlasov multivalued stochastic differential equations with oblique subgradients and related stochastic control problems

Hao Wu·Junhao Hu·Chenggui Yuan
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Abstract

In this article, we prove the existence of weak solutions as well as the existence and uniqueness of strong solutions for McKean-Vlasov multivalued stochastic differential equations with oblique subgradients (MVMSDEswOS, for short) by means of the equations of Euler type and Skorohod's representation theorem. For this type of equation, compared with the method in [19,13], since we can't use the maximal monotony property of its constituent subdifferential operator, some different specific techniques are applied to solve our problems. Afterwards, we give an example for MVMSDEswOS with time-dependent convex constraints, which can be reduced to MVMSDEswOS. Finally, we consider an optimal control problem and establish the dynamic programming principle for the value function.

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Hao Wu, Junhao Hu, Chenggui Yuan. 2022-07-23. McKean-Vlasov multivalued stochastic differential equations with oblique subgradients and related stochastic control problems. https://arxiv.org/abs/2207.11422

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