Mean-field limit for stochastic control problems under state constraint

Abstract: We study the convergence problem of mean-field control theory in the presence of state constraints and non-degenerate idiosyncratic noise. Our main result is the convergence of the value functions associated to stochastic control problems for many interacting particles subject to symmetric, almost-sure constraints toward the value function of a control problem of mean-field type, set on the space of probability measures. The key step of the proof is to show that admissible controls for the limit problem can be turned into admissible controls for the $N$-particle problem up to a correction which vanishes as the number of particles increases. The rest of the proof relies on compactness methods. We also provide optimality conditions for the mean-field problem and discuss the regularity of the optimal controls. Finally we present some applications and connections with large deviations for weakly interacting particle systems.