Convergence analysis on the particle systems with centralized control

Speaker: Prof. Chao Zhou (National University of Singapore)

Venue: Room 203, Building 2, Haina Court, Zijingang Campus

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.

Contact person: Prof. ZHANG Rongmao (rmzhang@zju.edu.cn）