Corpus ID: 56122401

Sensitivity analysis for HJB equations with an application to a coupled backward-forward system

@article{Kolokoltsov2013SensitivityAF,
  title={Sensitivity analysis for HJB equations with an application to a coupled backward-forward system},
  author={V. Kolokoltsov and W. Yang},
  journal={arXiv: Analysis of PDEs},
  year={2013}
}
In this paper, we analyse the dependence of the solution of Hamilton-Jacobi-Bellman equations on a functional parameter. This sensitivity analysis not only has the interest on its own, but also is important for the mean field games methodology, namely for solving a coupled backward-forward system. We show that the unique solution of a Hamilton-Jacobi-Bellman equation and its spacial gradient are Lipschitz continuous uniformly with respect to a functional parameter. In particular, we provide veri… Expand
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