1. Mean-field control of non exchangeable systems
- Author
-
De Crescenzo, Anna, Fuhrman, Marco, Kharroubi, Idris, and Pham, Huyên
- Subjects
Mathematics - Probability ,Mathematics - Optimization and Control ,60H30, 05C80, 60K35, 93E20 - Abstract
We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal probability laws. We prove the well-posedness of such systems and define the control problem together with its related value function. We next prove a law invariance property for the value function which allows us to work on the set of collections of probability laws. We show that the value function satisfies a dynamic programming principle (DPP) on the flow of collections of probability measures. We also derive a chain rule for a class of regular functions along the flows of collections of marginal laws of diffusion processes. Combining the DPP and the chain rule, we prove that the value function is a viscosity solution of a Bellman dynamic programming equation in a $L^2$-set of Wasserstein space-valued functions., Comment: 48 pages
- Published
- 2024