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

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

We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be reduced by suitable Markov embedding to finite-dimensional stoc...

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Bibliographic Details
Main Authors: Balata Alessandro, Huré Côme, Laurière Mathieu, Pham Huyên, Pimentel Isaque
Format: Article
Language:English
Published: EDP Sciences 2019-01-01
Series:ESAIM: Proceedings and Surveys
Subjects:
mckean-vlasov control
polynomial class
quantization
regress-later
control randomization
Online Access:https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196506.pdf

Internet

https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196506.pdf

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