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

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.

MoreLess

Year of publication:	2018
Authors:	Choutri, Salah Eddine ; Hamidou, Tembine
Published in:	Games. - Basel : MDPI, ISSN 2073-4336. - Vol. 9.2018, 4, p. 1-24
Publisher:	Basel : MDPI
Subject:	mean-field \| nonlinear Markov chain \| backward SDEs \| optimal control \| stochastic maximum principle

freely available

Full text |

More access options

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/g9040084 [DOI] 1663263361 [GVK] hdl:10419/219205 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012227727