Mean field control and finite agent approximation for regime-switching jump diffusions
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Publication:6166349
DOI10.1007/S00245-023-10015-3zbMATH Open1518.35223arXiv2109.09134MaRDI QIDQ6166349FDOQ6166349
Authors: Erhan Bayraktar, Alekos Cecchin, Prakash Chakraborty 
Publication date: 6 July 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Abstract: We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation on the space of probability measures. Using this characterization, we prove that the value function, which is not regular, is the limit of a finite agent centralized optimal control problem as the number of agents go to infinity, with an explicit convergence rate. Assuming in addition that the value function is smooth, we establish a quantitative propagation of chaos result for the optimal trajectory of agent states.
Full work available at URL: https://arxiv.org/abs/2109.09134
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Cited In (11)
- Diffusion approximations for controlled weakly interacting large finite state systems with simultaneous jumps
- A finite-dimensional approximation for partial differential equations on Wasserstein space
- From finite population optimal stopping to mean field optimal stopping
- Finite state \(N\)-agent and mean field control problems
- Infinite horizon average cost optimality criteria for mean-field control
- A Mean-Field Game of Market-Making against Strategic Traders
- Regularity of the value function and quantitative propagation of chaos for mean field control problems
- Mean field approximation of an optimal control problem for the continuity equation arising in smart charging
- Quantitative propagation of chaos for mean field Markov decision process with common noise
- Determining state space anomalies in mean field games
- Mean-field optimal control as Gamma-limit of finite agent controls
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