{"title":"关于具有共同噪声的时间不一致扩展均场控制问题","authors":"Zongxia Liang, Xiang Yu, Keyu Zhang","doi":"arxiv-2409.07219","DOIUrl":null,"url":null,"abstract":"This paper addresses a class of time-inconsistent mean field control (MFC)\nproblems in the presence of common noise under non-exponential discount, where\nthe coefficients of the McKean-Vlasov dynamics depend on the conditional joint\ndistribution of the state and control. We investigate the closed-loop\ntime-consistent equilibrium strategies for these extended MFC problems and\nprovide a sufficient and necessary condition for their characterization.\nFurthermore, we derive a master equation system that provides an equivalent\ncharacterization of our problem. We then apply these results to the\ntime-inconsistent linear quadratic (LQ) MFC problems, characterizing the\nequilibrium strategies in terms of the solution to a non-local Riccati system.\nTo illustrate these findings, two financial applications are presented.\nFinally, a non-LQ example is also discussed in which the closed-loop\nequilibrium strategy can be explicitly characterized and verified.","PeriodicalId":501286,"journal":{"name":"arXiv - MATH - Optimization and Control","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"On time-inconsistent extended mean-field control problems with common noise\",\"authors\":\"Zongxia Liang, Xiang Yu, Keyu Zhang\",\"doi\":\"arxiv-2409.07219\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper addresses a class of time-inconsistent mean field control (MFC)\\nproblems in the presence of common noise under non-exponential discount, where\\nthe coefficients of the McKean-Vlasov dynamics depend on the conditional joint\\ndistribution of the state and control. We investigate the closed-loop\\ntime-consistent equilibrium strategies for these extended MFC problems and\\nprovide a sufficient and necessary condition for their characterization.\\nFurthermore, we derive a master equation system that provides an equivalent\\ncharacterization of our problem. We then apply these results to the\\ntime-inconsistent linear quadratic (LQ) MFC problems, characterizing the\\nequilibrium strategies in terms of the solution to a non-local Riccati system.\\nTo illustrate these findings, two financial applications are presented.\\nFinally, a non-LQ example is also discussed in which the closed-loop\\nequilibrium strategy can be explicitly characterized and verified.\",\"PeriodicalId\":501286,\"journal\":{\"name\":\"arXiv - MATH - Optimization and Control\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-09-11\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - MATH - Optimization and Control\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2409.07219\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - MATH - Optimization and Control","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.07219","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On time-inconsistent extended mean-field control problems with common noise
This paper addresses a class of time-inconsistent mean field control (MFC)
problems in the presence of common noise under non-exponential discount, where
the coefficients of the McKean-Vlasov dynamics depend on the conditional joint
distribution of the state and control. We investigate the closed-loop
time-consistent equilibrium strategies for these extended MFC problems and
provide a sufficient and necessary condition for their characterization.
Furthermore, we derive a master equation system that provides an equivalent
characterization of our problem. We then apply these results to the
time-inconsistent linear quadratic (LQ) MFC problems, characterizing the
equilibrium strategies in terms of the solution to a non-local Riccati system.
To illustrate these findings, two financial applications are presented.
Finally, a non-LQ example is also discussed in which the closed-loop
equilibrium strategy can be explicitly characterized and verified.