Salvato in:
| Autori principali: | , , , |
|---|---|
| Natura: | Preprint |
| Pubblicazione: |
2024
|
| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2412.05189 |
| Tags: |
Aggiungi Tag
Nessun Tag, puoi essere il primo ad aggiungerne!!
|
| _version_ | 1866910731284250624 |
|---|---|
| author | Bensoussan, Alain Huang, Ziyu Tang, Shanjian Yam, Sheung Chi Phillip |
| author_facet | Bensoussan, Alain Huang, Ziyu Tang, Shanjian Yam, Sheung Chi Phillip |
| contents | In this article, from the viewpoint of control theory, we discuss the relationships among the commonly used monotonicity conditions that ensure the well-posedness of the solutions arising from problems of mean field games (MFGs) and mean field type control (MFTC). We first introduce the well-posedness of general forward-backward stochastic differential equations (FBSDEs) defined on some suitably chosen Hilbert spaces under the $β$-monotonicity. We then propose a monotonicity condition for the MFG, namely partitioning the running cost functional into two parts, so that both parts still depend on the control and the state distribution, yet one satisfies a strong convexity and a small mean field effect condition, while the other has a newly introduced displacement quasi-monotonicity. To the best of our knowledge, the latter quasi type condition has not yet been discussed in the contemporary literature, and it can be considered as a bit more general monotonicity condition than those commonly used. Besides, for the MFG, we show that convexity and small mean field effect condition for the first part of running cost functional and the quasi-monotonicity condition for the second part together imply the $β$-monotonicity and thus the well-posedness for the associated FBSDEs. For the MFTC problem, we show that the $β$-monotonicity for the corresponding FBSDEs is simply the convexity assumption on the cost functional. Finally, we consider a more general setting where the drift functional is allowed to be non-linear for both MFG and MFTC problems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_05189 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On Mean Field Monotonicity Conditions from Control Theoretical Perspective Bensoussan, Alain Huang, Ziyu Tang, Shanjian Yam, Sheung Chi Phillip Optimization and Control In this article, from the viewpoint of control theory, we discuss the relationships among the commonly used monotonicity conditions that ensure the well-posedness of the solutions arising from problems of mean field games (MFGs) and mean field type control (MFTC). We first introduce the well-posedness of general forward-backward stochastic differential equations (FBSDEs) defined on some suitably chosen Hilbert spaces under the $β$-monotonicity. We then propose a monotonicity condition for the MFG, namely partitioning the running cost functional into two parts, so that both parts still depend on the control and the state distribution, yet one satisfies a strong convexity and a small mean field effect condition, while the other has a newly introduced displacement quasi-monotonicity. To the best of our knowledge, the latter quasi type condition has not yet been discussed in the contemporary literature, and it can be considered as a bit more general monotonicity condition than those commonly used. Besides, for the MFG, we show that convexity and small mean field effect condition for the first part of running cost functional and the quasi-monotonicity condition for the second part together imply the $β$-monotonicity and thus the well-posedness for the associated FBSDEs. For the MFTC problem, we show that the $β$-monotonicity for the corresponding FBSDEs is simply the convexity assumption on the cost functional. Finally, we consider a more general setting where the drift functional is allowed to be non-linear for both MFG and MFTC problems. |
| title | On Mean Field Monotonicity Conditions from Control Theoretical Perspective |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2412.05189 |