Discrete time McKean-Vlasov control problem: a dynamic programming approach

DOI10.1007/s00245-016-9386-9zbMath1360.49018arXiv1511.09273OpenAlexW2963617451MaRDI QIDQ520347

Xiaoli Wei, Huyên Pham

Publication date: 3 April 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.09273

zbMATH Keywords

dynamic programmingcalculus of variationsMcKean-Vlasov equationstochastic optimal control problemmean-variance portfolio selection

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20)

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Mean-field Markov decision processes with common noise and open-loop controls ⋮ Extended Mckean-Vlasov optimal stochastic control applied to smart grid management, ⋮ Discrete-time mean-field stochastic control with partial observations ⋮ A dynamic analytic method for risk-aware controlled martingale problems ⋮ Quantitative propagation of chaos for mean field Markov decision process with common noise ⋮ Mean field Markov decision processes ⋮ A Tale of a Principal and Many, Many Agents ⋮ Mean Field Control and Mean Field Game Models with Several Populations ⋮ Mean-Field Optimal Control and Optimality Conditions in the Space of Probability Measures ⋮ Mean-Field Controls with Q-Learning for Cooperative MARL: Convergence and Complexity Analysis

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