Presented By: Department of Mathematics
Financial/Actuarial Mathematics Seminar
Mean field control and finite agent approximation for regime-switching jump diffusions
We consider a mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation. We prove that the value function is the limit of a finite agent centralized optimal control problem as the number of agents go to infinity. In the process, we derive the convergence rate and a propagation of chaos result for the optimal trajectory of agent states. Speaker(s): Prakash Chakraborty (UM)
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