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Article Dans Une Revue Annals of Probability Année : 2015

Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics

Résumé

The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the connection and the differences between the two sets of problems. We prove a new version of the stochastic maximum principle and give sufficient conditions for existence of an optimal control. We also provide examples for which our sufficient conditions for existence of an optimal solution are satisfied. Finally we show that our solution to the control problem provides approximate equilibria for large stochastic games with mean field interactions.
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Dates et versions

hal-00803683 , version 1 (22-03-2013)
hal-00803683 , version 2 (09-07-2013)

Identifiants

  • HAL Id : hal-00803683 , version 2

Citer

René Carmona, François Delarue. Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics. Annals of Probability, 2015, 43, pp.2647-2700. ⟨hal-00803683v2⟩
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