Year: 2021
Type: article
Abstract: Mean field optimal control problems are a class of optimization problems that arise from optimal control when applied to the many body setting. In the noisy case one has a set of controllable stochastic processes and a cost function that is a functional of their trajectories. The goal of the optimization is to minimize this cost over the control variables. Here we consider the case in which we have N stochastic processes, or agents, with the associated control variables, which interact in a disordered way so that the resulting cost function is random. The goal is to find the average minimal cost for N → ∞, when a typical realization of the quenched random interactions is considered. We introduce a simple model and show how to perform a dimensional reduction from the infinite dimensional case to a set of one dimensional stochastic partial differential equations of the Hamilton–Jacobi–Bellman and Fokker–Planck type. The statistical properties of the corresponding stochastic terms must be computed self-consistently, as we show explicitly.
Author: Pierfrancesco Urbani
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W3157506682