JournalsaihpcVol. 37, No. 5pp. 1211–1244

Fokker-Planck equations of jumping particles and mean field games of impulse control

  • Charles Bertucci

    Université Paris-Dauphine, PSL Research University, UMR 7534, CEREMADE, 75016 Paris, France
Fokker-Planck equations of jumping particles and mean field games of impulse control cover
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Abstract

This paper is interested in the description of the density of particles evolving according to some optimal policy of an impulse control problem. We first fix the sets from which the particles jump and explain how we can characterize such a density. We then investigate the coupled case in which the underlying impulse control problem depends on the density we are looking for: the mean field game of impulse control. In both cases, we give a variational characterization of the densities of jumping particles.

Cite this article

Charles Bertucci, Fokker-Planck equations of jumping particles and mean field games of impulse control. Ann. Inst. H. Poincaré Anal. Non Linéaire 37 (2020), no. 5, pp. 1211–1244

DOI 10.1016/J.ANIHPC.2020.04.006