Model uncertainty stochastic mean-field control

DOI10.1080/07362994.2018.1499036MaRDI QIDQ5742383zbMATH OpenOpenAlexWikidataFDO

Authors N. Agram, B. Øksendal

Publication date 14 May 2019

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.01385

zbMATH Keywords

generalized maximum principlemean-field stochastic gamesstochastic oprtimal control

Mathematics Subject Classification ID

2-person games (91A05) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16) Applications of game theory (91A80) Optimal stochastic control (93E20)

Abstract: We consider the problem of optimal control of a mean-field stochastic differential equation under model uncertainty. The model uncertainty is represented by ambiguity about the law $mathcalL(X(t))$ of the state $X(t)$ at time $t$. For example, it could be the law $mathcal{L}_{mathbbP}(X(t))$ of $X(t)$ with respect to the given, underlying probability measure $mathbbP$. This is the classical case when there is no model uncertainty. But it could also be the law $mathcal{L}_{mathbbQ}(X(t))$ with respect to some other probability measure $mathbbQ$ or, more generally, any random measure $mu(t)$ on $mathbbR$ with total mass $1$. We represent this model uncertainty control problem as a stochastic differential game of a mean-field related type stochastic differential equation (SDE) with two players. The control of one of the players, representing the uncertainty of the law of the state, is a measure valued stochastic process $mu(t)$ and the control of the other player is a classical real-valued stochastic process $u(t)$. This control with respect to random probability processes $mu(t)$ on $mathbbR$ is a new type of stochastic control problems that has not been studied before. By introducing operator-valued backward stochastic differential equations, we obtain a sufficient maximum principle for Nash equilibria for such games in the general nonzero-sum case, and saddle points for zero-sum games. As an application we find an explicit solution of the problem of optimal consumption under model uncertainty of a cash flow described by a mean-field related type SDE.

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Cited in

(13)

• Forward-backward stochastic differential games and stochastic control under model uncertainty
• Stochastic optimal control of McKean-Vlasov equations with anticipating law
• A note on the strong formulation of stochastic control problems with model uncertainty
• Optimal stochastic control problem under model uncertainty with nonentropy penalty
• Stochastic Control with Imperfect Models
• Singular control optimal stopping of memory mean-field processes
• Mean-field FBSDE and optimal control
• Mean-field stochastic control with elephant memory in finite and infinite time horizon
• Model uncertainty and control consequences: a paper machine study
• Maximum principle for mean-field SDEs under model uncertainty
• Optimal stopping of conditional McKean-Vlasov jump diffusions
• Fully coupled mean-field forward-backward stochastic differential games under model uncertainty
• Optimal stochastic singular control for mixed delay differential game with Brownian noise and Teugels martingales

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