arXiv subjects

Panagiotis Souganidis

Publications and source records attributed to Panagiotis Souganidis.

11 recordsLinked to original sources

arXiv2026

On the optimal portfolio problem with partial information and related mean field games with relative performance criteria

We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form expressions for the optimal processes. We consider a N player game in which players interact through the law of peer's wealth and study its mean field limit. This leads to a a game with field equilibrium. We analyze the cases of separable couplings and general utilities, and represent the value of the game as a compilation of the single player problem and a function solving a non local quasilinear pde in the space of measures. We interpret the findings using elements from indifference valuation and arbitrage free pricing, Finally, when the couplings depend only on the average of peer's wealth, we derive explicit solutions and various regularity results for representative cases.

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arXiv2025

Mean field games with common noise and degenerate idiosyncratic noise

We study the forward-backward system of stochastic partial differential equations describing a mean field game for a large population of small players subject to both idiosyncratic and common noise. The unique feature of the problem is that the idiosyncratic noise coefficient may be degenerate, so that the system does not admit smooth solutions in general. We develop a new notion of weak solutions for backward stochastic Hamilton-Jacobi-Bellman equations, and use this to build probabilistically weak solutions of the mean field game system.

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arXiv2023

An algebraic convergence rate for the optimal control of McKean-Vlasov dynamics

We establish an algebraic rate of convergence in the large number of players limit of the value functions of N-particle stochastic control problems towards the value function of the corresponding McKean-Vlasov problem also known as mean field control. The rate is obtained in the presence of both idiosyncratic and common noises and in a setting where the value function for the McKean-Vlasov problem need not be smooth. Our approach relies crucially on uniform in N Lipschitz and semi-concavity estimates for the N-particle value functions as well as a certain concentration inequality.

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arXiv2022

Regularity of the value function and quantitative propagation of chaos for mean field control problems

We investigate a mean field optimal control problem obtained in the limit of the optimal control of large particle systems with forcing and terminal data which are not assumed to be convex. We prove that the value function, which is known to be Lipschitz continuous but not of class C 1 , in general, without convexity, is actually smooth in an open and dense subset of the space of times and probability measures. As a consequence, we prove a new quantitative propagation of chaos-type result for the optimal solutions of the particle system starting from this open and dense set.

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arXiv2021

Weak solutions of the master equation for Mean Field Games with no idiosyncratic noise

We introduce a notion of weak solution of the master equation without idiosyncratic noise in Mean Field Game theory and establish its existence, uniqueness up to a constant and consistency with classical solutions when it is smooth. We work in a monotone setting and rely on Lions' Hilbert space approach. For the first-order master equation without idiosyncratic noise, we also give an equivalent definition in the space of measures and establish the well-posedness.

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arXiv2021

Interpolation results for pathwise Hamilton-Jacobi equations

We study the interplay between the regularity of paths and Hamiltonians in the theory of pathwise Hamilton-Jacobi equations with the use of interpolation methods. The regularity of the paths is measured with respect to Sobolev, Besov, Hölder, and variation norms, and criteria for the Hamiltonians are presented in terms of both regularity and structure. We also explore various properties of functions that are representable as the difference of convex functions, the largest space of Hamiltonians for which the equation is well-posed for all continuous paths. Finally, we discuss some open problems and conjectures.

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arXiv2020

On first order mean field game systems with a common noise

We consider Mean Field Games without idiosyncratic but with Brownian type common noise. We introduce a notion of solutions of the associated backward-forward system of stochastic partial differential equations. We show that the solution exists and is unique for monotone coupling functions. This the first general result for solutions of the Mean Field Games system with common and no idiosynctratic noise. We also use the solution to find approximate optimal strategies (Nash equilibria) for N-player differential games with common but no idiosyncratic noise. An important step in the analysis is the study of the well-posedness of a stochastic backward Hamilton-Jacobi equation.

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arXiv2019

Well posedness for multi-dimensional junction problems with Kirchoff-type conditions

We consider multi-dimensional junction problems for first- and second-order pde with Kirchoff-type Neumann boundary conditions and we show that their generalized viscosity solutions are unique. It follows that any viscosity-type approximation of the junction problem converges to a unique limit. The results here are the first of this kind and extend previous work by the authors for one-dimensional junctions. The proofs are based on a careful analysis of the behavior of the viscosity solutions near the junction, including a blow-up argument that reduces the general problem to a one-dimensional one. As in our previous note, no convexity assumptions and control theoretic interpretation of the solutions are needed.

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arXiv2018

Super-linear propagation for a general, local cane toads model

We investigate a general, local version of the cane toads equation, which models the spread of a population structured by unbounded motility. We use the thin-front limit approach of Evans and Souganidis in [Indiana Univ. Math. J., 1989] to obtain a characterization of the propagation in terms of both the linearized equation and a geometric front equation. In particular, we reduce the task of understanding the precise location of the front for a large class of equations to analyzing a much smaller class of Hamilton-Jacobi equations. We are then able to give an explicit formula for the front location in physical space. One advantage of our approach is that we do not use the explicit trajectories along which the population spreads, which was a basis of previous work. Our result allows for large oscillations in the motility.

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arXiv2017

On the existence of correctors for the stochastic homogenization of viscous hamilton-jacobi equations

We prove, under some assumptions, the existence of correctors for the stochastic homoge-nization of of " viscous " possibly degenerate Hamilton-Jacobi equations in stationary ergodic media. The general claim is that, assuming knowledge of homogenization in probability, correctors exist for all extreme points of the convex hull of the sublevel sets of the effective Hamiltonian. Even when homogenization is not a priori known, the arguments imply existence of correctors and, hence, homogenization in some new settings. These include positively homogeneous Hamiltonians and, hence, geometric-type equations including motion by mean curvature, in radially symmetric environments and for all directions. Correctors also exist and, hence, homogenization holds for many directions for non convex Hamiltoni-ans and general stationary ergodic media.

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arXiv2017

Perturbation problems in homogenization of hamilton-jacobi equations

This paper is concerned with the behavior of the ergodic constant associated with convex and superlinear Hamilton-Jacobi equation in a periodic environment which is perturbed either by medium with increasing period or by a random Bernoulli perturbation with small parameter. We find a first order Taylor's expansion for the ergodic constant which depends on the dimension d. When d = 1 the first order term is non trivial, while for all d $\ge$ 2 it is always 0. Although such questions have been looked at in the context of linear uniformly elliptic homogenization, our results are the first of this kind in nonlinear settings. Our arguments, which rely on viscosity solutions and the weak KAM theory, also raise several new and challenging questions.

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