Deep Learning Methods for Mean Field Control Problems with Delay
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Publication:6318072
arXiv1905.00358MaRDI QIDQ6318072FDOQ6318072
Authors: Jean-Pierre Fouque, Zhaoyu Zhang 
Publication date: 1 May 2019
Abstract: We consider a general class of mean field control problems described by stochastic delayed differential equations of McKean-Vlasov type. Two numerical algorithms are provided based on deep learning techniques, one is to directly parameterize the optimal control using neural networks, the other is based on numerically solving the McKean-Vlasov forward anticipated backward stochastic differential equation (MV-FABSDE) system. In addition, we establish a necessary and sufficient stochastic maximum principle for this class of mean field control problems with delay based on the differential calculus on function of measures, as well as existence and uniqueness results for the associated MV-FABSDE system.
Optimal stochastic control (93E20) Stochastic processes (60G99) Software, source code, etc. for problems pertaining to computer science (68-04)
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