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arXiv · 2310.10950

Existence of optimal feedback controls for McKean-Vlasov SDEs

Jinghai Shao
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Abstract

This work concerns the optimal control problem for McKean-Vlasov SDEs. We provide explicit conditions to ensure the existence of optimal Markovian feedback controls. Moreover, based on the flow property of the McKean-Vlasov SDE, the dynamic programming principle is established, which will enable to characterize the value function via the theory of Hamilton-Jacobi-Bellman equation on the Wasserstein space.

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Jinghai Shao. 2023-10-17. Existence of optimal feedback controls for McKean-Vlasov SDEs. https://arxiv.org/abs/2310.10950

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