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

Choutri, Salah Eddine; Hamidou, Tembine - In: Games 9 (2018) 4/84, pp. 1-24

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...

Persistent link: https://www.econbiz.de/10011993336

Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions

Kartala, Xanthi-Isidora; Englezos, Nikolaos; … - In: Mathematics of operations research 45 (2020) 2, pp. 403-433

Persistent link: https://www.econbiz.de/10012242504

Nonlinear reserving and multiple contract modifications in life insurance

Christiansen, Marcus C.; Djehiche, Boualem - In: Insurance / Mathematics & economics 93 (2020), pp. 187-195

Persistent link: https://www.econbiz.de/10012294123

Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation

Coculescu, Delia; Motte, Médéric; Pham, Huyên - In: Mathematics and financial economics 18 (2024) 2/3, pp. 333-377

Persistent link: https://www.econbiz.de/10015189206

On the value of a time-inconsistent mean-field zero-sum Dynkin game

Djehiche, Boualem - In: Mathematics and financial economics 18 (2024) 2/3, pp. 483-513

Persistent link: https://www.econbiz.de/10015189212

Mean-field multiagent reinforcement learning : a decentralized network approach

Gu, Haotian; Guo, Xin; Wei, Xiaoli; Xu, Renyuan - In: Mathematics of operations research 50 (2025) 1, pp. 506-536

Persistent link: https://www.econbiz.de/10015211747

On the efficiency of equilibria in mean-field oscillator games

Yin, Huibing; Mehta, Prashant G.; Meyn, Sean P.; … - In: Dynamic games and applications : DGA 4 (2014) 2, pp. 177-207

Persistent link: https://www.econbiz.de/10010416222

Nonlinear reserving in life insurance : aggregation and mean-field approximation

Djehiche, Boualem; Löfdahl, Björn - In: Insurance / Mathematics & economics 69 (2016), pp. 1-13

Persistent link: https://www.econbiz.de/10011530874

Mean-field-type games with jump and regime switching

Bensoussan, Alain; Djehiche, Boualem; Tembine, Hamidou; … - In: Dynamic games and applications : DGA 10 (2020) 1, pp. 19-57

Persistent link: https://www.econbiz.de/10012226798

Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

Hambly, Ben; Kolliopoulos, Nikolaos - In: Finance and stochastics 24 (2020) 3, pp. 757-794

Persistent link: https://www.econbiz.de/10012518096