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DOE OSTI · 22617153

Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach

Pham, Huyên·Wei, Xiaoli
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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.

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97 MATHEMATICS AND COMPUTINGDISTRIBUTIONDYNAMIC PROGRAMMINGMEAN-FIELD THEORYMULTIVARIATE ANALYSISNONLINEAR PROBLEMSOPTIMAL CONTROLPROGRAMMINGSTOCHASTIC PROCESSES

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Pham, Huyên, Wei, Xiaoli. 2016-12-15. Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach. https://doi.org/10.1007/s00245-016-9386-9

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