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

Salah Eddine Choutri, Tembine Hamidou

Research output: Contribution to journalArticle

Abstract

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
JournalGames
Volume9
Issue number4
DOIs
StatePublished - Dec 2018

Keywords

  • 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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