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arXiv · 2109.09134

Mean field control and finite dimensional approximation for regime-switching jump diffusions

Erhan Bayraktar·Alekos Cecchin·Prakash Chakraborty
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Abstract

We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation on the space of probability measures. Using this characterization, we prove that the value function, which is not regular, is the limit of a finite agent centralized optimal control problem as the number of agents go to infinity, with an explicit convergence rate. Assuming in addition that the value function is smooth, we establish a quantitative propagation of chaos result for the optimal trajectory of agent states.

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Erhan Bayraktar, Alekos Cecchin, Prakash Chakraborty. 2021-09-19. Mean field control and finite dimensional approximation for regime-switching jump diffusions. https://arxiv.org/abs/2109.09134

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