A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems

Abstract : We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV control problems. We show how this polynomial class can be reduced by suitable Markov embedding to finite-dimensional stochastic control problems, and provide a discussion and comparison of three probabilistic numerical methods for solving the reduced control problem: quantization, regression by control randomization, and regress later methods. Our numerical results are illustrated on various examples from portfolio selection and liquidation under drift uncertainty, and a model of interbank systemic risk with partial observation.
Type de document :
Pré-publication, Document de travail
2018
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https://hal.archives-ouvertes.fr/hal-01718751
Contributeur : Côme Huré <>
Soumis le : mercredi 26 septembre 2018 - 19:12:22
Dernière modification le : mardi 19 mars 2019 - 01:23:31
Document(s) archivé(s) le : jeudi 27 décembre 2018 - 15:42:18

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  • HAL Id : hal-01718751, version 2
  • ARXIV : 1803.00445

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Alessandro Balata, Côme Huré, Mathieu Laurière, Huyên Pham, Isaque Pimentel. A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems. 2018. 〈hal-01718751v2〉

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