Path integral control under McKean-Vlasov dynamics
Fuente:
arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866913330211323904 |
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| author | Bennett, Timothy |
| author_facet | Bennett, Timothy |
| contents | We investigate the complexities of the McKean-Vlasov optimal control problem, exploring its various formulations such as the strong and weak formulations, as well as both Markovian and non-Markovian setups within financial markets. Furthermore, we examine scenarios where the law governing the control process impacts the dynamics of options. By conceptualizing controls as probability measures on a fitting canonical space with filtrations, we unlock the potential to devise classical measurable selection methods, conditioning strategies, and concatenation arguments within this innovative framework. These tools enable us to establish the dynamic programming principle under a wide range of conditions. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_17006 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Path integral control under McKean-Vlasov dynamics Bennett, Timothy Optimization and Control Probability 93E03, 93E20 We investigate the complexities of the McKean-Vlasov optimal control problem, exploring its various formulations such as the strong and weak formulations, as well as both Markovian and non-Markovian setups within financial markets. Furthermore, we examine scenarios where the law governing the control process impacts the dynamics of options. By conceptualizing controls as probability measures on a fitting canonical space with filtrations, we unlock the potential to devise classical measurable selection methods, conditioning strategies, and concatenation arguments within this innovative framework. These tools enable us to establish the dynamic programming principle under a wide range of conditions. |
| title | Path integral control under McKean-Vlasov dynamics |
| topic | Optimization and Control Probability 93E03, 93E20 |
| url | https://arxiv.org/abs/2404.17006 |