English

Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics

Probability 2017-01-06 v2 Optimization and Control

Abstract

We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field interaction under common noise. Our first main result is to state a dynamic programming principle for the value function in the Wasserstein space of probability measures, which is proved from a flow property of the conditional law of the controlled state process. Next, by relying on the notion of differentiability with respect to probability measures due to P.L. Lions [32], and It{\^o}'s formula along a flow of conditional measures, we derive the dynamic programming Hamilton-Jacobi-Bellman equation, and prove the viscosity property together with a uniqueness result for the value function. Finally, we solve explicitly the linear-quadratic stochastic McKean-Vlasov control problem and give an application to an interbank systemic risk model with common noise.

Keywords

Cite

@article{arxiv.1604.04057,
  title  = {Dynamic programming for optimal control of stochastic McKean-Vlasov dynamics},
  author = {Huyên Pham and Xiaoli Wei},
  journal= {arXiv preprint arXiv:1604.04057},
  year   = {2017}
}

Comments

33 pages, to appear in SIAM Journal on Control and Optimization

R2 v1 2026-06-22T13:32:09.513Z