Dynamic optimization problems for mean-field stochastic large-population systems

Abstract

This paper considers dynamic optimization problems for a class of control average mean-field stochastic large-population systems. For each agent, the state system is governed by a linear mean-field stochastic differential equation (MF-SDE) with individual noise and common noise, and the weight coefficients in the cost functional can be indefinite. The decentralized optimal strategies are characterized by stochastic Hamiltonian system, which turns out to be an algebra equation and a mean-field forward-backward stochastic differential equation (MF-FBSDE). Applying the decoupling method, the feedback representation of decentralized optimal strategies is further obtained through two Riccati equations. The solvability of stochastic Hamiltonian system and Riccati equations under indefinite condition is also derived. The explicit structure of the control average limit and the related mean-field Nash certainty equivalence (NCE) equation systems are also discussed by some separation techniques. Moreover, the decentralized optimal strategies are proved to satisfy the approximate Nash equilibrium property. The good performance of the proposed theoretical results is illustrated by a practical example from the engineering field.