概率统计讨论班——Convergence analysis on the particle systems with centralized control

Abstract:

This paper deals with the optimization problem of a class of controlled N-particle systems. We establish the regularity results, which is uniform in N, on the HJB equations corresponding to the N-particle system. The uniform regularity results are obtained by the stochastic maximum principle and the analysis on a Riccati type BSDE. Using the uniform regularity results, we show the convergence of value function and optimal control as the number N of particles tends to infinity, where the convergence rates are also given. This is based on a joint work with Huafu Liao, Alpar Meszaros and Chenchen Mou.