On the relaxed mean-field stochastic control problem

DOI10.1142/S0219493718500247zbMATH Open1391.93293arXiv1702.00464OpenAlexW2963726048MaRDI QIDQ4642385FDOQ4642385

Meriem Mezerdi, Brahim Mezerdi, Khaled Bahlali

Publication date: 23 May 2018

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: This paper is concerned with optimal control problems for systems governed by mean-field stochastic differential equation, in which the control enters both the drift and the diffusion coefficient. We prove that the relaxed state process, associated with measure valued controls, is governed by an orthogonal martingale measure rather that a Brownian motion. In particular, we show by a counter example that replacing the drift and diffusion coefficient by their relaxed counterparts does not define a true relaxed control problem. We establish the existence of an optimal relaxed control, which can be approximated by a sequence of strict controls. Moreover under some convexity conditions, we show that the optimal control is realized by a strict control.

Full work available at URL: https://arxiv.org/abs/1702.00464

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zbMATH Keywords

weak convergenceapproximationmartingale measuremean-field stochastic differential equationrelaxed controltightness

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (11)

• Actor-critic reinforcement learning algorithms for mean field games in continuous time, state and action spaces
• The stochastic maximum principle for relaxed control problem with regime-switching
• Infinite horizon optimal control of mean-field delay system with semi-Markov modulated jump-diffusion processes
• A Constructive Approach to Existence of Equilibria in Time-Inconsistent Stochastic Control Problems
• Approximation and optimality necessary conditions in relaxed stochastic control problems
• On optimal control of coupled mean-field forward-backward stochastic equations
• Approximation in optimal control of diffusion processes
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• McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations
• The role of correlation in diffusion control ranking games
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon

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