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arXiv · 1511.09273

Discrete time McKean-Vlasov control problem: a dynamic programming approach

Huyên Pham·Xiaoli Wei
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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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Huyên Pham, Xiaoli Wei. 2015-11-30. Discrete time McKean-Vlasov control problem: a dynamic programming approach. https://arxiv.org/abs/1511.09273

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