Optimal Control of McKean-Vlasov equations with controlled stochasticity
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866912103702462464 |
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| author | Di Persio, Luca Kuchling, Peter |
| author_facet | Di Persio, Luca Kuchling, Peter |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2305_09379 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Optimal Control of McKean-Vlasov equations with controlled stochasticity Di Persio, Luca Kuchling, Peter Optimization and Control 49J20, 49K20, 49K45, 93E20 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. |
| title | Optimal Control of McKean-Vlasov equations with controlled stochasticity |
| topic | Optimization and Control 49J20, 49K20, 49K45, 93E20 |
| url | https://arxiv.org/abs/2305.09379 |