Discrete-time Mean-Field Stochastic Control with Partial Observations - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2023

Discrete-time Mean-Field Stochastic Control with Partial Observations

Résumé

We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach, we prove a verification result providing a solution to the optimal control of the filtered system. As an application, we study a general linear quadratic example for which an explicit solution is given. We also describe an algorithm for the numerical approximation of the optimal value and provide numerical experiments on a financial example.
Fichier principal
Vignette du fichier
BayesDTMKVcontrol.pdf (422.36 Ko) Télécharger le fichier
BayesDTMKVcontrol.bib (55.87 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04013908 , version 1 (03-03-2023)

Identifiants

Citer

Jeremy Chichportich, Idris Kharroubi. Discrete-time Mean-Field Stochastic Control with Partial Observations. 2023. ⟨hal-04013908⟩
43 Consultations
29 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More