Connection between MP and DPP for Mean-Field Stochastic Optimal Control Problems
Guangzhi Cui, Tianyang Nie, Guangchen Wang
Abstract
This paper deals with the optimal control problem for the general mean-field stochastic differential equations, in which the coefficients depend on both the state process as well as on its law. We focus on the connection between the general maximum principle and the dynamic programming principle for such a control problem. We establish the relationship between the value function of the mean-field optimal control problem and the adjoint equations in the maximum principle. We also give a general mean-field stochastic verification theorem. Some examples are solved explicitly to illustrate our results.
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