A stochastic maximum principle for Markov chains of mean-field type

Salah Eddine Choutri and Tembine Hamidou

We derive sufficient and necessary optimality conditions in terms of a stochastic maximum principle (SMP) for controls associated with cost functionals of mean-field type, under dynamics driven by a class of Markov chains of mean-field type which are pure jump processes obtained as solutions of a well-posed martingale problem. As an illustration, we apply the result to generic examples of control problems as well as some applications.

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Year of publication:	2018
Authors:	Choutri, Salah Eddine ; Hamidou, Tembine
Published in:	Games. - Basel : MDPI, ISSN 2073-4336, ZDB-ID 2527220-2. - Vol. 9.2018, 4/84, p. 1-24
Subject:	mean-field \| nonlinear Markov chain \| backward SDEs \| optimal control \| stochastic maximum principle \| Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Mathematische Optimierung \| Mathematical programming \| Kontrolltheorie \| Control theory \| Wahrscheinlichkeitsrechnung \| Probability theory

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/g9040084 [DOI] hdl:10419/219205 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011993336