Maximum Principle for Mean Field Type Control Problems with General Volatility Functions
Optimization and Control
2023-09-14 v1
Abstract
In this paper, we study the maximum principle of mean field type control problems when the volatility function depends on the state and its measure and also the control, by using our recently developed method. Our method is to embed the mean field type control problem into a Hilbert space to bypass the evolution in the Wasserstein space. We here give a necessary condition and a sufficient condition for these control problems in Hilbert spaces, and we also derive a system of forward-backward stochastic differential equations.
Keywords
Cite
@article{arxiv.2309.06736,
title = {Maximum Principle for Mean Field Type Control Problems with General Volatility Functions},
author = {Alain Bensoussan and Ziyu Huang and Sheung Chi Phillip Yam},
journal= {arXiv preprint arXiv:2309.06736},
year = {2023}
}