Risk-Sensitive Mean-Field-Type Control
Optimization and Control
2017-02-07 v1 Analysis of PDEs
Abstract
We study risk-sensitive optimal control of a stochastic differential equation (SDE) of mean-field type, where the coefficients are allowed to depend on some functional of the law as well as the state and control processes. Moreover the risk-sensitive cost functional is also of mean-field type. We derive optimality equations in infinite dimensions connecting dual functions associated with Bellman functional to the adjoint process of the Pontryagin maximum principle. The case of linear-exponentiated quadratic cost and its connection with the risk-neutral solution is discussed.
Keywords
Cite
@article{arxiv.1702.01369,
title = {Risk-Sensitive Mean-Field-Type Control},
author = {Alain Bensoussan and Boualem Djehiche and Hamidou Tembine and Phillip Yam},
journal= {arXiv preprint arXiv:1702.01369},
year = {2017}
}
Comments
14 pages