We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that dynamic programming principle holds in its general form. We apply our method for solving explicitly the mean-variance portfolio selection and the multivariate linear-quadratic McKean-Vlasov control problem.
A Stochastic Optimal Control Problem for the Heat Equation on the Halfline with Dirichlet Boundary-noise and Boundary-control
Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
The Conditional Poincaré Inequality for Filter Stability
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