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

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 formulat...

Full description

Saved in:
Bibliographic Details
Published inMathematics of operations research Vol. 47; no. 4; pp. 2891 - 2930
Main Authors Djete, Mao Fabrice, Possamaï, Dylan, Tan, Xiaolu
Format Journal Article
LanguageEnglish
Published Linthicum INFORMS 01.11.2022
Institute for Operations Research and the Management Sciences
Subjects
Online AccessGet full text
ISSN0364-765X
1526-5471
DOI10.1287/moor.2021.1232

Cover

More Information
Summary: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.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0364-765X
1526-5471
DOI:10.1287/moor.2021.1232