Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

DOI10.1137/16M1071390zbMath1361.93069arXiv1604.04057OpenAlexW2963415493MaRDI QIDQ5737639

Publication date: 24 May 2017

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

Full work available at URL: https://arxiv.org/abs/1604.04057

zbMATH Keywords

Bellman equation viscosity solutions Wasserstein space dynamic programming principle stochastic McKean-Vlasov SDEs

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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