McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations (Q5870359)

scientific article; zbMATH DE number 7639655

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English	McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations	scientific article; zbMATH DE number 7639655

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instance of

scholarly article

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title

McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations (English)

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zbMATH Open document ID

1505.93284

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DOI

10.1287/moor.2021.1232

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Mathematics of Operations Research

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publication date

9 January 2023

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full work available at URL

https://arxiv.org/abs/2001.00925

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Mathematics Subject Classification ID

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McKean-Vlasov optimal control

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common noise

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limit theory

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MaRDI profile type

MaRDI publication profile

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Extended Mean Field Control Problems: Stochastic Maximum Principle and Transport Perspective

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A maximum principle for SDEs of mean-field type

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Existence of optimal controls for systems governed by mean-field stochastic differential equations

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Existence and optimality conditions for relaxed mean-field stochastic control problems

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On the relaxed mean-field stochastic control problem

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Stability of McKean–Vlasov stochastic differential equations and applications

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A class of finite-dimensional numerically solvable McKean-Vlasov control problems

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Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach

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A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems

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Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics

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The master equation in mean field theory

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A theory of Markovian time-inconsistent stochastic control in discrete time

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On time-inconsistent stochastic control in continuous time

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A general stochastic maximum principle for SDEs of mean-field type

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Large deviation properties of weakly interacting processes via weak convergence methods

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Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics

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Control of McKean-Vlasov dynamics versus mean field games

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Mean field games with common noise

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The relaxed optimal control problem for mean-field SDEs systems and application

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Q3957682

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Martingale measures and stochastic calculus

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Compactification methods in the control of degenerate diffusions: existence of an optimal control

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A Tale of a Principal and Many, Many Agents

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Mean–field moral hazard for optimal energy demand response management

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On Certain Questions in the Theory of Optimal Control

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Continuous time mean-variance portfolio optimization through the mean field approach

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On the McKean-Vlasov Limit for Interacting Diffusions

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Linear quadratic mean field type control and mean field games with common noise, with application to production of an exhaustible resource

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Stochastic particle approximations for generalized Boltzmann models and convergence estimates

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On the Existence of Optimal Controls

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An invariance principle in large population stochastic dynamic games

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Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria

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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

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Q3684922

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Propagation of chaos and fluctuations for a moderate model with smooth initial data

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Propagation of chaos for rank-based interacting diffusions and long time behaviour of a scalar quasilinear parabolic equation

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Q3236483

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Weak and strong solutions of general stochastic models

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Mean field games via controlled martingale problems: existence of Markovian equilibria

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A general characterization of the mean field limit for stochastic differential games

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Limit Theory for Controlled McKean--Vlasov Dynamics

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Mean field games. I: The stationary case

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Mean field games. II: Finite horizon and optimal control

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Mean field games

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Dynamic programming for mean-field type control

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Q4139359

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Q4895007

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A propagation of chaos result for a system of particles with moderate interaction

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Measurability of semimartingale characteristics with respect to the probability law

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A martingale approach to the law of large numbers for weakly interacting stochastic processes

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A law of large numbers for moderately interacting diffusion processes

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Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications

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Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

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Bellman equation and viscosity solutions for mean-field stochastic control problem

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Stochastic control for a class of nonlinear kernels and applications

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Q3358031

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Mathematics(1 entry)

mardi Publication:5870359