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

Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

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

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Publisher
Springer US
Copyright
Copyright © 2016 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-016-9386-9
Publisher site
See Article on Publisher Site

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