Discrete time McKean-Vlasov control problem: a dynamic programming approach
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Abstract: We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that dynamic programming principle holds in its general form. We apply our method for solving explicitly the mean-variance portfolio selection and the multivariate linear-quadratic McKean-Vlasov control problem.
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- Near-optimal mean-variance controls under two-time-scale formulations and applications
- Mean field control and mean field game models with several populations
- Mean-field Markov decision processes with common noise and open-loop controls
- A Tale of a Principal and Many, Many Agents
- A dynamic analytic method for risk-aware controlled martingale problems
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Maximum principle for discrete-time stochastic control problem of mean-field type
- McKean-Vlasov limit in portfolio optimization
- Quantitative propagation of chaos for mean field Markov decision process with common noise
- Mean-field controls with Q-learning for cooperative MARL: convergence and complexity analysis
- Discrete-time mean-field stochastic control with partial observations
- Mean field Markov decision processes
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems
- A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
- Mean-field optimal control and optimality conditions in the space of probability measures
- Extended Mckean-Vlasov optimal stochastic control applied to smart grid management,
- Dynamic programming for mean-field type control
- McKean-Vlasov optimal control: the dynamic programming principle
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