We study the McKean–Vlasov optimal control problem with common noise which allow the law of the control process to appear in the state dynamics under various formulations: strong and weak ones, Markovian or non-Markovian. By interpreting the controls as probability measures on an appropriate canonical space with two filtrations, we then develop the classical measurable selection, conditioning and concatenation arguments in this new context, and establish the dynamic programming principle under general conditions.
No takes yet. Share an insight, caveat, or question.
Djete et al. (2022) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: