AUTHOR=Fouque Jean-Pierre , Zhang Zhaoyu TITLE=Deep Learning Methods for Mean Field Control Problems With Delay JOURNAL=Frontiers in Applied Mathematics and Statistics VOLUME=6 YEAR=2020 URL=https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2020.00011 DOI=10.3389/fams.2020.00011 ISSN=2297-4687 ABSTRACT=

We consider a general class of mean field control problems described by stochastic delayed differential equations of McKean–Vlasov type. Two numerical algorithms are provided based on deep learning techniques, one is to directly parameterize the optimal control using neural networks, the other is based on numerically solving the McKean–Vlasov forward anticipated backward stochastic differential equation (MV-FABSDE) system. In addition, we establish the necessary and sufficient stochastic maximum principle of this class of mean field control problems with delay based on the differential calculus on function of measures, and the existence and uniqueness results are proved for the associated MV-FABSDE system under suitable conditions.

Mathematical Subject Classification (2000): 93E20, 60G99, 68-04