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

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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https://hal.archives-ouvertes.fr/hal-01235234
Contributor : Huyên Pham <>
Submitted on : Sunday, November 29, 2015 - 5:45:45 PM
Last modification on : Friday, March 27, 2020 - 3:55:02 AM
Document(s) archivé(s) le : Saturday, April 29, 2017 - 12:59:38 AM

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  • HAL Id : hal-01235234, version 1
  • ARXIV : 1511.09273

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Huyên Pham, Xiaoli Wei. Discrete time McKean-Vlasov control problem: a dynamic programming approach. 2015. ⟨hal-01235234⟩

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