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| Main Authors: | , , |
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| Format: | Preprint |
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2025
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| Online Access: | https://arxiv.org/abs/2511.22428 |
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| _version_ | 1866914173377576960 |
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| author | Bensoussan, Alain Huang, Ziyu Yam, Sheung Chi Phillip |
| author_facet | Bensoussan, Alain Huang, Ziyu Yam, Sheung Chi Phillip |
| contents | Variational methods have been used to study stochastic control for long, see Bensoussan (1982) and Bensoussan-Lions (1978) for the early works. More precisely, variational approaches apply to the study of Bellman equation as a parabolic quasi-linear equation, when the nonlinearity affects only the gradient of the solution, and the second order derivative term is linear and not degenerate. This corresponds to a stochastic control problem, where the state equation is a diffusion process. The primary objective of this article is to extend this approach to mean field control theory, as an alternative to the current approach, which considers a coupled system of Hamilton-Jacobi (HJ) and Fokker-Planck (FP) equations, since the introduction of the theory by Lasry-Lions (2007). The main novelty lies in that the equation studied here is the HJB equation, neither the HJ-FP system nor the master equation; and our results also provide another perspective for probabilistic approaches; see Chassagneux-Crisan-Delarue (2022), Bensoussan-Wong-Yam-Yuan (2024), Bensoussan-Tai-Yam (2025) and Bensoussan-Huang-Tang-Yam (2025) for instance. Within the scope of the PDE methods, the advantage of this article is to solve a larger class of mean field control problems, with moderate regularity; and this kind of variational methods fairly require few conditions on the regularity of the coefficients. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_22428 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Variational Approach to Mean Field Type Control Bensoussan, Alain Huang, Ziyu Yam, Sheung Chi Phillip Optimization and Control Variational methods have been used to study stochastic control for long, see Bensoussan (1982) and Bensoussan-Lions (1978) for the early works. More precisely, variational approaches apply to the study of Bellman equation as a parabolic quasi-linear equation, when the nonlinearity affects only the gradient of the solution, and the second order derivative term is linear and not degenerate. This corresponds to a stochastic control problem, where the state equation is a diffusion process. The primary objective of this article is to extend this approach to mean field control theory, as an alternative to the current approach, which considers a coupled system of Hamilton-Jacobi (HJ) and Fokker-Planck (FP) equations, since the introduction of the theory by Lasry-Lions (2007). The main novelty lies in that the equation studied here is the HJB equation, neither the HJ-FP system nor the master equation; and our results also provide another perspective for probabilistic approaches; see Chassagneux-Crisan-Delarue (2022), Bensoussan-Wong-Yam-Yuan (2024), Bensoussan-Tai-Yam (2025) and Bensoussan-Huang-Tang-Yam (2025) for instance. Within the scope of the PDE methods, the advantage of this article is to solve a larger class of mean field control problems, with moderate regularity; and this kind of variational methods fairly require few conditions on the regularity of the coefficients. |
| title | A Variational Approach to Mean Field Type Control |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2511.22428 |