2019/03/29 by Alain Bensoussan, P. Jameson Graber, Bensoussan, Alain +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Geometric Analysis and Curvature Flows #Mathematical Dynamics and Fractals #Optimization and Control (math.OC) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1903.12602
openalex publication_date 2019/03/29 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
By extending \citebensoussan2015control, we implement the proposal of Lions \citelions14 on studying mean field games and their master equations via certain control problems on the Hilbert space of square integrable random variables. In \citebensoussan2015control, the Hilbert space could be quite general in the face of the "deterministic control problem" due to the absence of additional randomness; while the special case of L2 space of square integrable random variables was brought in at the interpretation stage. The effectiveness of the approach was demonstrated by deriving Bellman equations and the first order master equations through control theory of dynamical systems valued in the Hilbert space. In our present problem for second order master equations, it connects with a stochastic control problem over the space of random variables, and it possesses an additional randomness generated by the Wiener process which cannot be detached from the randomness caused by the elements in the Hilbert space. Nevertheless, we demonstrate how to tackle this difficulty, while preserving most of the efficiency of the approach suggested by Lions \citelions14.