Control on Hilbert Spaces and Application to Some Mean Field Type Control Problems
Abstract
We propose a new approach to studying classical solutions of the Bellman equation and Master equation for mean field type control problems, using a novel form of the "lifting" idea introduced by P.-L. Lions. Rather than studying the usual system of Hamilton-Jacobi/Fokker-Planck PDEs using analytic techniques, we instead study a stochastic control problem on a specially constructed Hilbert space, which is reminiscent of a tangent space on the Wasserstein space in optimal transport. On this Hilbert space we can use classical control theory techniques, despite the fact that it is infinite dimensional. A consequence of our construction is that the mean field type control problem appears as a special case. Thus we preserve the advantages of the lifiting procedure, while removing some of the difficulties. Our approach extends previous work by two of the coauthors, which dealt with a deterministic control problem for which the Hilbert space could be generic.
Cite
@article{arxiv.2005.10770,
title = {Control on Hilbert Spaces and Application to Some Mean Field Type Control Problems},
author = {Alain Bensoussan and P. Jameson Graber and Sheung Chi Phillip Yam},
journal= {arXiv preprint arXiv:2005.10770},
year = {2023}
}