Quantitative finite-population approximation of heterogeneous linear--quadratic mean-field control with common noise

Source abstract

We study the finite-population approximation of a heterogeneous linear--quadratic mean-field control problem with common noise and random coefficients. Starting from the centralized social planner problem for $N$ non-exchangeable agents, we derive its exact finite-dimensional stochastic Riccati system and identify the scaling of its diagonal, off-diagonal, affine, and scalar components. We then compare this system with the Hilbert-space-valued Riccati system of the continuum model. Our main estimates give quantitative convergence of the complete backward system, including its common-noise martingale integrands. The error separates coefficient and kernel consistency, common-noise approximation, interface effects, exact diagonal corrections, and the mass of the limiting interaction kernel on the discrete diagonal band. We propagate these estimates to the feedback gains and, by a cellwise coupling, to the optimal states, controls, and initial social values. Finally, a cellwise projection of the limiting representative-agent feedback yields a decentralized finite-population strategy whose optimality gap vanishes. Under the stated regularity assumptions, the error bounds are expressed through explicit approximation and concentration moduli. Quantitative bounds on these moduli yield algebraic rates, including an $N^{-1/2}$ rate for the backward system in finite-type regimes; the rates for optimal trajectories additionally reflect the available conditional moment bounds.