Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space
Abstract
In this paper, we show that the value functions of mean field control problems with common noise are the unique viscosity solutions to fully second-order Hamilton-Jacobi-Bellman equations, in a Crandall-Lions-like framework. We allow the second-order derivative in measure to be state-dependent and thus infinite-dimensional, rather than derived from a finite-dimensional operator, hence the term ''fully''. Our argument leverages the construction of smooth approximations from particle systems developed by Cosso, Gozzi, Kharroubi, Pham, and Rosestolato [Trans. Amer. Math. Soc., 2023], and the compactness argument via penalization of measure moments in Soner and Yan [Appl. Math. Optim., 2024]. Our work addresses unbounded dynamics and state-dependent common noise volatility, and to our knowledge, this is the first result of its kind in the literature.
Keywords
Cite
@article{arxiv.2501.01612,
title = {Viscosity Solutions of Fully second-order HJB Equations in the Wasserstein Space},
author = {Erhan Bayraktar and Hang Cheung and Ibrahim Ekren and Jinniao Qiu and Ho Man Tai and Xin Zhang},
journal= {arXiv preprint arXiv:2501.01612},
year = {2025}
}
Comments
32 pages