| Autor: |
Bertucci, Charles, Lasry, Jean-Michel, Lions, Pierre Louis |
| Rok vydání: |
2022 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
In the first part of this paper, we derive an infinite dimensional partial differential equation which describes an economic equilibrium in a model of storage which includes an infinite number of non-atomic agents. This equation has the form of a mean field game master equation. The second part of the paper is devoted to the mathematical study of the Hamilton-Jacobi-Bellman equation from which the previous equation derives. This last equation is both singular and set on a Hilbert space and thus raises new mathematical difficulties. |
| Databáze: |
arXiv |
| Externí odkaz: |
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