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

Salah Eddine Choutri, Tembine Hamidou

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish (US)
Article number84
Issue number4
StatePublished - Dec 2018


  • Backward sdes
  • Mean-field
  • Nonlinear markov chain
  • Optimal control
  • Stochastic maximum principle

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics


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