Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
نویسندگان
چکیده
منابع مشابه
Dynamic Programming for Optimal Control of Stochastic McKean-Vlasov Dynamics
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field interaction under common noise. Our first main result is to state a dynamic programming principle for the value function in the Wasserstein space of probability measu...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2017
ISSN: 0363-0129,1095-7138
DOI: 10.1137/16m1071390