Finite state N-agent and mean field control problems

Abstract: We examine mean field control problems on a finite state space, in continuous time and over a finite time horizon. We characterize the value function of the mean field control problem as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation in the simplex. In absence of any convexity assumption, we exploit this characterization to prove convergence, as $N$ grows, of the value functions of the centralized $N$-agent optimal control problem to the limit mean field control problem value function, with a convergence rate of order $1/\sqrt{N}$. Then, assuming convexity, we show that the limit value function is smooth and establish propagation of chaos, i.e. convergence of the $N$-agent optimal trajectory to the unique limiting optimal trajectory, with an explicit rate.