Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics
type: Distribution
access URL: https://hal.science/hal-00803683
format: HTML
issued: 2026-05-10T09:53:00.244623
modified: 2026-05-10T09:53:00.228831

Forward-Backward Stochastic Differential Equations and Controlled McKean Vlasov Dynamics
type: Dataset
contact point: Organization
  fn: CCSD
keyword: journal-articles
keyword: infoeu-reposemanticsarticle
keyword: large-population
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: stochastic-optimal-control
keyword: mckean-vlasov-equations
keyword: forward-backward-equations
keyword: 60h10-93e20-60f15
landing page: 0091-1798
description: The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type. Motivated by the recent interest in mean field games, we highlight the connection and the differences between the two sets of problems. We prove a new version of the stochastic maximum principle and give sufficient conditions for existence of an optimal control. We also provide examples for which our sufficient conditions for existence of an optimal solution are satisfied. Finally we show that our solution to the control problem provides approximate equilibria for large stochastic games with mean field interactions.
issued: 2026-05-10T09:53:00.242285
language: en
modified: 2026-05-10T09:53:00.242290

test_moissonnage_selune
type: Agent