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Alexander Yu. Veretennikov

Publications and source records attributed to Alexander Yu. Veretennikov.

5 recordsLinked to original sources

Existence and uniqueness theorems for solutions of McKean--Vlasov stochastic equations

New weak and strong existence and weak and strong uniqueness results for multi-dimensional stochastic McKean--Vlasov equations are established under relaxed regularity conditions. Weak existence is a variation of Krylov's weak existence for Itô's SDEs under the nondegeneracy of diffusion and no more than a linear growth in the state variable; this part is designed to fill in the existing gap, as earlier such results for McKean-Vlasov equations were not written. Weak and strong uniqueness is established under the restricted assumption of diffusion depending only on time and the state variable, yet without any regularity of the drift in the state variable and also under a linear growth condition on the drift; this part is based on the analysis of the total variation metric.

math.PR

An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem

A general continuous mean-variance problem is considered for a diffusion controlled process where the reward functional has an integral and a terminal-time component. The problem is transformed into a superposition of a static and a dynamic optimization problem. The value function of the latter can be considered as the solution to a degenerate HJB equation either in viscosity or in Sobolev sense (after a regularization) under suitable assumptions and with implications with regards to the optimality of strategies. There is a useful interplay between the two approaches -- viscosity and Sobolev.

math.PR