Mean field control and finite dimensional approximation for regime-switching jump diffusions

Abstract

We consider a jump-diffusion mean field control problem with regime switching in the state dynamics. The corresponding value function is characterized as the unique viscosity solution of a HJB master equation on the space of probability measures. Using this characterization, we prove that the value function, which is not regular, is the limit of a finite agent centralized optimal control problem as the number of agents go to infinity, with an explicit convergence rate. Assuming in addition that the value function is smooth, we establish a quantitative propagation of chaos result for the optimal trajectory of agent states.

arXiv commentMajor revision. Errors in the first submission corrected. Keywords: mean field control, master equation, viscosity solutions, propagation of chaos, convergence rate