Some results on mean-field non-Markovian controlled interacting systems
We introduce some models of systems of mean-field interacting agents with path-dependent coefficients, related to an optimization problem. We discuss well-posedness of the HJB equation that describes optimal control of the McKean-Vlasov equation that arises from such systems, as well as some open problems about the controlled McKean-Vlasov and the mean-field game formulations for this type of problems.
Area: CS45 - Mckean-Vlasov equations and related PDEs (Elena Issoglio and Stefano Pagliarani)
Keywords: McKean-Vlasov, path-dependent SDEs
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