Infinite horizon McKean-Vlasov FBSDEs and applications to mean field control problems
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866917623483072512 |
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| author | Hua, Tianjiao Luo, Peng |
| author_facet | Hua, Tianjiao Luo, Peng |
| contents | In this paper, we study a class of infinite horizon fully coupled McKean-Vlasov forward-backward stochastic differential equations (FBSDEs). We propose a generalized monotonicity condition involving two flexible functions. Under this condition, we establish the well-posedness results for infinite horizon McKean-Vlasov FBSDEs by the method of continuation, including the unique solvability, an estimate of the solution, and the related continuous dependence property of the solution on the coefficients. Based on the solvability result, we study an infinite horizon mean field control problem. Moreover, by choosing appropriate form of the flexible functions, we can eliminate the different phenomenon between the linear-quadratic (LQ) problems on infinite horizon and finite horizon proposed in Wei and Yu (SIAM J. Control Optim. 59: 2594-2623, 2021). |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2403_14396 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Infinite horizon McKean-Vlasov FBSDEs and applications to mean field control problems Hua, Tianjiao Luo, Peng Optimization and Control Probability In this paper, we study a class of infinite horizon fully coupled McKean-Vlasov forward-backward stochastic differential equations (FBSDEs). We propose a generalized monotonicity condition involving two flexible functions. Under this condition, we establish the well-posedness results for infinite horizon McKean-Vlasov FBSDEs by the method of continuation, including the unique solvability, an estimate of the solution, and the related continuous dependence property of the solution on the coefficients. Based on the solvability result, we study an infinite horizon mean field control problem. Moreover, by choosing appropriate form of the flexible functions, we can eliminate the different phenomenon between the linear-quadratic (LQ) problems on infinite horizon and finite horizon proposed in Wei and Yu (SIAM J. Control Optim. 59: 2594-2623, 2021). |
| title | Infinite horizon McKean-Vlasov FBSDEs and applications to mean field control problems |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2403.14396 |