Optimal control problems with generalized mean-field dynamics and viscosity solution to Master Bellman equation

Abstract: We study an optimal control problem of generalized mean-field dynamics with open-loop controls, where the coefficients depend not only on the state processes and controls, but also on the joint law of them. The value function $V$ defined in a conventional way, but it does not satisfy the Dynamic Programming Principle (DPP for short). For this reason we introduce subtly a novel value function $\vartheta$, which is closely related to the original value function $V$, such that, a description of $\vartheta$, as a solution of a partial differential equation (PDE), also characterizes $V$. We establish the DPP for $\vartheta$. By using an intrinsic notion of viscosity solutions, initially introduced in Burzoni, Ignazio, Reppen and Soner [8] and specifically tailored to our framework, we show that the value function $\vartheta$ is a viscosity solution to a Master Bellman equation on a subset of Wasserstein space of probability measures. The uniqueness of viscosity solution is proved for coefficients which depend on the time and the joint law of the control process and the controlled process. Our approach is inspired by Buckdahn, Li, Peng and Rainer [7], and leads to a generalization of the mean-field PDE in [7] to a Master Bellman equation in the case of controls.