Mean-field control of non exchangeable systems

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Authors: Anna De Crescenzo, Marco Fuhrman, Idris Kharroubi, Huyên Pham
Cited by: 0

Abstract

We study the optimal control of mean-field systems with heterogeneous and asymmetric interactions. This leads to considering a family of controlled Brownian diffusion processes with dynamics depending on the whole collection of marginal probability laws. We prove the well-posedness of such systems and define the control problem together with its related value function. We next prove a law invariance property for the value function which allows us to work on the set of collections of probability laws. We show that the value function satisfies a dynamic programming principle (DPP) on the flow of collections of probability measures. We also derive a chain rule for a class of regular functions along the flows of collections of marginal laws of diffusion processes. Combining the DPP and the chain rule, we prove that the value function is a viscosity solution of a Bellman dynamic programming equation in a L2-set of Wasserstein space-valued functions.

Fields of Study & Subjects

Stochastic processes and financial applications Geometric Analysis and Curvature Flows Nonlinear Partial Differential Equations

Publication details

Journal / source
Springer Link (Chiba Institute of Technology)
Publication date
21 January 2026
Language
EN