McKean-Vlasov optimal control: the dynamic programming principle

DOI10.1214/21-AOP1548zbMath1491.49018arXiv1907.08860MaRDI QIDQ2129699

Mao Fabrice Djete, Xiaolu Tan, Dylan Possamaï

Publication date: 22 April 2022

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.08860

zbMATH Keywords

measurable selection; dynamic programming principle; McKean-Vlasov optimal control

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

60K35: Interacting random processes; statistical mechanics type models; percolation theory

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

49J55: Existence of optimal solutions to problems involving randomness