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arXiv · 2212.12293

A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems

Matteo Burzoni·Alekos Cecchin·Andrea Cosso
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Abstract

We provide a new version of the Tikhonov theorem for both two-scale forward systems and also two-scale forward-backward systems of stochastic differential equations, which also covers the McKean-Vlasov case. Differently from what is usually done in the literature, we prove a type of convergence for the ''fast'' variable, which allows the limiting process to be discontinuous. This is relevant for the second part of the paper, where we present a new application of this theory to the approximation of the solution of mean field control problems. Towards this aim, we construct a two-scale system whose ''fast'' component converges to the optimal control process, while the ''slow'' component converges to the optimal state process. The interest in such a procedure is that it allows to approximate the solution of the control problem avoiding the usual step of the minimization of the Hamiltonian.

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Matteo Burzoni, Alekos Cecchin, Andrea Cosso. 2024-03-25. A Tikhonov theorem for McKean-Vlasov two-scale systems and a new application to mean field optimal control problems. https://arxiv.org/abs/2212.12293

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