Optimal control of the Dyson equation

Abstract: We provide a complete study of the optimal control problem associated to the so-called Dyson equation, which describes the mean field evolution of the spectrum of large random matrices. We treat both the case of regular and singular terminal data. We construct admissible controls and prove the existence of optimal ones. We then proceed to give a thorough mathematical analysis of the associated Hamilton-Jacobi-Bellman equation by means of the theory of viscosity solutions in the space of measures. In particular, we characterize the value function of the optimal control problem as the unique viscosity solution to this infinite dimensional HJB equation.