{
  "id": "1511.09273",
  "version": "v1",
  "published": "2015-11-30T12:40:50.000Z",
  "updated": "2015-11-30T12:40:50.000Z",
  "title": "Discrete time McKean-Vlasov control problem: a dynamic programming approach",
  "authors": [
    "Huyên Pham",
    "Xiaoli Wei"
  ],
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-11-30T12:40:50.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "discrete time mckean-vlasov control problem",
      "dynamic programming approach",
      "multivariate linear-quadratic mckean-vlasov control problem",
      "stochastic optimal control problem"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv151109273P"
    }
  }
}