Mean field control and finite agent approximation for regime-switching jump diffusions
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Publication:6166349
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.
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Cited in
(11)- Infinite horizon average cost optimality criteria for mean-field control
- Finite state \(N\)-agent and mean field control problems
- A Mean-Field Game of Market-Making against Strategic Traders
- Mean-field optimal control as Gamma-limit of finite agent controls
- A finite-dimensional approximation for partial differential equations on Wasserstein space
- Diffusion approximations for controlled weakly interacting large finite state systems with simultaneous jumps
- Quantitative propagation of chaos for mean field Markov decision process with common noise
- Mean field approximation of an optimal control problem for the continuity equation arising in smart charging
- Regularity of the value function and quantitative propagation of chaos for mean field control problems
- From finite population optimal stopping to mean field optimal stopping
- Determining state space anomalies in mean field games
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