Related papers: Generalized differentiation in Wasserstein space a…
We study existence of probability measure valued jump-diffusions described by martingale problems. We develop a simple device that allows us to embed Wasserstein spaces and other similar spaces of probability measures into locally compact…
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field…
We establish the well-posedness of viscosity solutions for a class of semi-linear Hamilton-Jacobi equations set on the space of probability measures on the torus. In particular, we focus on equations with both common and idiosyncratic…
We study in this paper a control problem in a space of random variables. We show that its Hamilton Jacobi Bellman equation is related to the Master equation in Mean field theory. P.L. Lions in [14,15] introduced the Hilbert space of square…
In this article, we propose a general framework for the study of differential inclusions in the Wasserstein space of probability measures. Based on earlier geometric insights on the structure of continuity equations, we define solutions of…
The consensus problem -- achieving agreement among a network of agents -- is a central theme in both theory and applications. Recently, this problem has been extended from Euclidean spaces to the space of probability measures, where the…
This paper presents a finite-dimensional approximation for a class of partial differential equations on the space of probability measures. These equations are satisfied in the sense of viscosity solutions. The main result states the…
Variational problems that involve Wasserstein distances have been recently proposed to summarize and learn from probability measures. Despite being conceptually simple, such problems are computationally challenging because they involve…
This paper is a continuation of our accompanying paper [Talbi, Touzi and Zhang (2021)], where we characterized the mean field optimal stopping problem by an obstacle equation on the Wasserstein space of probability measures, provided that…
This work investigates the optimal control problem for reflected McKean-Vlasov SDEs and the viscosity solutions to Hamilton-Jacobi-Bellman(HJB) equations on the Wasserstein space in terms of intrinsic derivative. It follows from the flow…
In this paper, we introduce a generalization of the Wasserstein barycenter, to a case where the initial probability measures live on different subspaces of R^d. We study the existence and uniqueness of this barycenter, we show how it is…
We study a class of quadratic Wasserstein distances on spaces consisting of generalized dynamical systems on a von Neumann algebra. We emphasize how symmetry of such a Wasserstein distance arises, but also study the asymmetric case. This…
We propose a unifying framework for generalising the Wasserstein-1 metric to a discrepancy measure between nonnegative measures of different mass. This generalization inherits the convexity and computational efficiency from the…
We present stochastic homogenization results for viscous Hamilton-Jacobi equations using a new argument which is based only on the subadditive structure of maximal subsolutions (solutions of the "metric problem"). This permits us to give…
We present a novel computational framework for density control in high-dimensional state spaces. The considered dynamical system consists of a large number of indistinguishable agents whose behaviors can be collectively modeled as a…
We consider an optimal control problem with ergodic (long term average) reward for a McKean-Vlasov dynamics, where the coefficients of a controlled stochastic differential equation depend on the marginal law of the solution. Starting from…
Wasserstein distributionally robust optimization (DRO) aims to find robust and generalizable solutions by hedging against data perturbations in Wasserstein distance. Despite its recent empirical success in operations research and machine…
Two different types of generalized solutions, namely viscosity and variational solutions, were introduced to solve the first-order evolutionary Hamilton--Jacobi equation. They coincide if the Hamiltonian is convex in the momentum variable.…
A notion of differentiability is being proposed for maps between Wasserstein spaces of order 2 of smooth, connected and complete Riemannian manifolds. Due to the nature of the tangent space construction on Wasserstein spaces, we only give a…
We develop a notion of projections between sets of probability measures using the geometric properties of the 2-Wasserstein space. It is designed for general multivariate probability measures, is computationally efficient to implement, and…