Mean-Field Limit for a Class of Stochastic Ergodic Control Problems

DOI10.1137/20M1363479zbMath1483.49052arXiv2003.06469WikidataQ114074157 ScholiaQ114074157MaRDI QIDQ5037500

Stefania Ugolini, Francesco C. De Vecchi, Sergio A. Albeverio, Andrea Romano

Publication date: 1 March 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.06469

zbMATH Keywords

de Finetti's theorem; mean-field control; McKean-Vlasov limit; ergodic optimal control; convergence of probability measures on path space; strong Kac's chaos

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60F15: Strong limit theorems

49N10: Linear-quadratic optimal control problems

49N05: Linear optimal control problems

49N80: Mean field games and control