The Annals of Applied Probability

A mean-field stochastic control problem with partial observations

Rainer Buckdahn, Juan Li, and Jin Ma

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Abstract

In this paper, we are interested in a new type of mean-field, non-Markovian stochastic control problems with partial observations. More precisely, we assume that the coefficients of the controlled dynamics depend not only on the paths of the state, but also on the conditional law of the state, given the observation to date. Our problem is strongly motivated by the recent study of the mean field games and the related McKean–Vlasov stochastic control problem, but with added aspects of path-dependence and partial observation. We shall first investigate the well-posedness of the state-observation dynamics, with combined reference probability measure arguments in nonlinear filtering theory and the Schauder fixed-point theorem. We then study the stochastic control problem with a partially observable system in which the conditional law appears nonlinearly in both the coefficients of the system and cost function. As a consequence, the control problem is intrinsically “time-inconsistent”, and we prove that the Pontryagin stochastic maximum principle holds in this case and characterize the adjoint equations, which turn out to be a new form of mean-field type BSDEs.

Article information

Source
Ann. Appl. Probab., Volume 27, Number 5 (2017), 3201-3245.

Dates
Received: August 2015
Revised: January 2017
First available in Project Euclid: 3 November 2017

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1509696045

Digital Object Identifier
doi:10.1214/17-AAP1280

Mathematical Reviews number (MathSciNet)
MR3719957

Zentralblatt MATH identifier
1380.93282

Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05] 60H30: Applications of stochastic analysis (to PDE, etc.) 93E03: Stochastic systems, general 93E11: Filtering [See also 60G35] 93E20: Optimal stochastic control

Keywords
Conditional mean-field SDEs non-Markovian stochastic control system nonlinear filtering stochastic maximum principle mean-field backward SDEs

Citation

Buckdahn, Rainer; Li, Juan; Ma, Jin. A mean-field stochastic control problem with partial observations. Ann. Appl. Probab. 27 (2017), no. 5, 3201--3245. doi:10.1214/17-AAP1280. https://projecteuclid.org/euclid.aoap/1509696045


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