Research-Convergence analysis on the particle systems with centralized control

Research

Financial Math Seminar

Convergence analysis on the particle systems with centralized control

Speaker: Chao Zhou（National University of Singapore）
Time: Dec 14, 2023, 16:10-17:30
Location: M3009, College of Science Building

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.