Optimal Control of McKean-Vlasov equations with controlled stochasticity
L. Di Persio, P. Kuchling, ArXiv (2023).
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Di Persio, Luca;
Kuchling, Peter
Abstract
In this article, we analyse the existence of an optimal feedback controller of stochastic optimal control problems governed by SDEs which have the control in the diffusion part. To this end, we consider the underlying Fokker-Planck equation to transform the stochastic optimal control problem into a deterministic problem with open-loop controller.
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arXiv
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Di Persio, Luca ; Kuchling, Peter: Optimal Control of McKean-Vlasov equations with controlled stochasticity. In: arXiv, arXiv (2023)
Di Persio L, Kuchling P. Optimal Control of McKean-Vlasov equations with controlled stochasticity. arXiv. 2023. doi:10.48550/ARXIV.2305.09379
Di Persio, L., & Kuchling, P. (2023). Optimal Control of McKean-Vlasov equations with controlled stochasticity. ArXiv. https://doi.org/10.48550/ARXIV.2305.09379
@article{Di Persio_Kuchling_2023, title={Optimal Control of McKean-Vlasov equations with controlled stochasticity}, DOI={10.48550/ARXIV.2305.09379}, journal={arXiv}, publisher={arXiv}, author={Di Persio, Luca and Kuchling, Peter}, year={2023} }
Di Persio, Luca, and Peter Kuchling. “Optimal Control of McKean-Vlasov Equations with Controlled Stochasticity.” ArXiv, 2023. https://doi.org/10.48550/ARXIV.2305.09379.
L. Di Persio and P. Kuchling, “Optimal Control of McKean-Vlasov equations with controlled stochasticity,” arXiv, 2023.
Di Persio, Luca, and Peter Kuchling. “Optimal Control of McKean-Vlasov Equations with Controlled Stochasticity.” ArXiv, arXiv, 2023, doi:10.48550/ARXIV.2305.09379.
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