Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics

DOI10.1090/tran/7118zbMath1381.93102arXiv1606.08204OpenAlexW2464868715MaRDI QIDQ4600443

Erhan Bayraktar, Huyên Pham, Andrea Cosso

Publication date: 9 January 2018

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08204

zbMATH Keywords

forward-backward stochastic differential equationsdynamic programming principlecontrolled McKean-Vlasov stochastic differential equationsrandomization method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)

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