Mean field verification theorem

DOI10.4310/CIS.2021.V21.N2.A4MaRDI QIDQ2048474zbMATH OpenOpenAlexFDO

Authors SingRu (Celine) Hoe, Joohyun Kim, Zhongfeng Yan, Alain Bensoussan

Publication date 6 August 2021

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/cis.2021.v21.n2.a4

zbMATH Keywords

mean field type controlsufficient conditionverification theorem

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Mean field games and control (49N80) Optimal stochastic control (93E20)

Review text

This paper describes the main ideas of the verification therorem for mean field control problems. More exactly, the considered problem is the following: find a control in a feedback form for a stochastic differential equation maximizing a given payoff function. Then, the authors extend Bellman equation of stochastic control to this situation and obtain a verification theorem for a specific feedback.

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