We propose a new approach to studying classical solutions of the Bellman equation and Master equation for mean field type control problems, using a novel form of the "lifting" idea introduced by P.-L. Lions. Rather than studying the usual system of Hamilton-Jacobi/Fokker-Planck PDEs using analytic techniques, we instead study a stochastic control problem on a specially constructed Hilbert space, which is reminiscent of a tangent space on the Wasserstein space in optimal transport. On this Hilbert space we can use classical control theory techniques, despite the fact that it is infinite dimensional. A consequence of our construction is that the mean field type control problem appears as a special case. Thus we preserve the advantages of the lifiting procedure, while removing some of the difficulties. Our approach extends previous work by two of the coauthors, which dealt with a deterministic control problem for which the Hilbert space could be generic [2].
The classical stochastic control problem under partial information , as , for instance , described in the book of A. Bensoussan[2] , can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system, which is not directly accessible. Zakai equation is a stochastic Fokker-Planck equation. Therefore, the mathematical problem to be solved is very similar to that met in Mean Field Control theory. Since Mean Field Control theory is much posterior to the development of Stochastic Control with partial information, the tools, techniques and concepts obtained in the last decade, for Mean Field Games and Mean field type Control theory, have not been used for the control of Zakai equation. It is the objective of this work to conncet the two theories.Not only , we get the power of new tools, but also we get new insights for the problem of stochastic control with partial information. For mean field theory, we get new interesting applications, but also new problems.The possibility of using direct methods is , of course, quite fruitful.
We extend the work [9] by two of the coauthors, which dealt with a deterministic control problem for which the Hilbert space could be generic and investigated a novel form of the 'lifting' technique proposed by P. L. Lions. In [9], we only showed the local existence and uniqueness of solutions to the FBODEs in the Hilbert space which were associated to the control problems with drift function consisting of the control only. In this article, we establish the global existence and uniqueness of the solutions to the FBODEs in Hilbert space corresponding to control problems with separable drift function which is nonlinear in state and linear in control. We shall also prove the sufficiency of the Pontryagin Maximum Principle and derive the corresponding Bellman equation. Besides, we shall show an analogue in the stationary case. Finally, by using the 'lifting' idea as in [7,6], we shall apply the result to solve the linear quadratic mean field type control problems, and to show the global existence of the corresponding Bellman equations.
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