Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
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Publication:6173820
DOI10.1137/21M1404259zbMath1515.60113arXiv2103.05736MaRDI QIDQ6173820
Jianfeng Zhang, Unnamed Author, Nizar Touzi
Publication date: 13 July 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: We study the optimal stopping problem of McKean-Vlasov diffusions when the criterion is a function of the law of the stopped process. A remarkable new feature in this setting is that the stopping time also impacts the dynamics of the stopped process through the dependence of the coefficients on the law. The mean field stopping problem is introduced in weak formulation in terms of the joint marginal law of the stopped underlying process and the survival process. This specification satisfies a dynamic programming principle. The corresponding dynamic programming equation is an obstacle problem on the Wasserstein space, and is obtained by means of a general It^o formula for flows of marginal laws of c`adl`ag semimartingales. Our verification result characterizes the nature of optimal stopping policies, highlighting the crucial need to randomized stopping. The effectiveness of our dynamic programming equation is illustrated by various examples including the mean-variance optimal stopping problem.
Full work available at URL: https://arxiv.org/abs/2103.05736
Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Mean field games and control (49N80) PDEs in connection with mean field game theory (35Q89)
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Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows ⋮ Time-inconsistent mean-field optimal stopping: a limit approach ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Optimal stopping of conditional McKean-Vlasov jump diffusions ⋮ A finite-dimensional approximation for partial differential equations on Wasserstein space ⋮ From finite population optimal stopping to mean field optimal stopping ⋮ Viscosity solutions for mean field optimal switching with a two-time-scale Markov chain ⋮ The mean field optimal switching problem: variational inequality approach ⋮ Controlled measure-valued martingales: a viscosity solution approach
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