Optimal control of path-dependent McKean–Vlasov SDEs in infinite-dimension

By Andrea Cosso, Fausto Gozzi, Idris Kharroubi, Huyen Pham, Mauro Rosestolato. The Annals of Applied Probability, 2020

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We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first establish the well-posedness of the state equation, and then we prove the dynamic programming principle (DPP) in such a general framework. The crucial law invariance property of the value function V is rigorously obtained, which means that V can be viewed as a function on the Wasserstein space of probability measures on the set of continuous functions valued in Hilbert space. We then define a notion of pathwise measure derivative, which extends the Wasserstein derivative due to Lions [41], and prove a related functional It{\^o} formula in the spirit of Dupire [24] and Wu and Zhang [51]. The Master Bellman equation is derived from the DPP by means of a suitable notion of viscosity solution. We provide different formulations and simplifications of such a Bellman equation notably in the special case when there is no dependence on the law of the control.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/8eac37c7c693da198d615dc86602d3ca92ae0909

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Citations in the corpus

Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions (2021, methodology): “Finally, notice that the results of the present section are stated under Assumption (A), however they hold under weaker assumptions, see [16].”