Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics

Carmona, René ^[1] ; Delarue, François ^[2]
1. [1] Princenton University
2. [2] Université de Nice
Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 43, Nº. 5, 2015, págs. 2647-2700
Idioma: inglés
DOI: 10.1214/14-AOP946
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Resumen
- The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of McKean–Vlasov type. Motivated by the recent interest in mean-field games, we highlight the connection and the differences between the two sets of problems. We prove a new version of the stochastic maximum principle and give sufficient conditions for existence of an optimal control. We also provide examples for which our sufficient conditions for existence of an optimal solution are satisfied. Finally we show that our solution to the control problem provides approximate equilibria for large stochastic controlled systems with mean-field interactions when subject to a common policy.