McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

Mao Fabrice Djete (), Dylan Possamaï () and Xiaolu Tan ()
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Mao Fabrice Djete: Centre de Mathématiques Appliquées, École Polytechnique, 91120 Palaiseau, France
Dylan Possamaï: Department of Mathematics, Eidgenössische Technische Hochschule Zürich, 8092 Zürich, Switzerland
Xiaolu Tan: Department of Mathematics, The Chinese University of Hong Kong, Hong Kong

Mathematics of Operations Research, 2022, vol. 47, issue 4, 2891-2930

Abstract: We study a McKean–Vlasov optimal control problem with common noise in order to establish the corresponding limit theory as well as the equivalence between different formulations, including strong, weak, and relaxed formulations. In contrast to the strong formulation, in which the problem is formulated on a fixed probability space equipped with two Brownian filtrations, the weak formulation is obtained by considering a more general probability space with two filtrations satisfying an ( H )-hypothesis type condition from the theory of enlargement of filtrations. When the common noise is uncontrolled, our relaxed formulation is obtained by considering a suitable controlled martingale problem. As for classic optimal control problems, we prove that the set of all relaxed controls is the closure of the set of all strong controls when considered as probability measures on the canonical space. Consequently, we obtain the equivalence of the different formulations of the control problem under additional mild regularity conditions on the reward functions. This is also a crucial technical step to prove the limit theory of the McKean–Vlasov control problem, that is, proving that it consists in the limit of a large population control problem with common noise.

Keywords: Primary: 93E20; 60K35; secondary: 60H30; McKean–Vlasov optimal control; common noise; limit theory (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormoor:v:47:y:2022:i:4:p:2891-2930

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