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...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2019-01-01
|
| Series: | ESAIM: Proceedings and Surveys |
| Subjects: | |
| Online Access: | https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196506.pdf |