Discrete time McKean-Vlasov control problem: a dynamic programming approach
Probability
2015-12-01 v1 Optimization and Control
Abstract
We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that dynamic programming principle holds in its general form. We apply our method for solving explicitly the mean-variance portfolio selection and the multivariate linear-quadratic McKean-Vlasov control problem.
Cite
@article{arxiv.1511.09273,
title = {Discrete time McKean-Vlasov control problem: a dynamic programming approach},
author = {Huyên Pham and Xiaoli Wei},
journal= {arXiv preprint arXiv:1511.09273},
year = {2015}
}