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 1 2018

Fingerprint

Maximum principle
Maximum Principle
Mean Field
Markov processes
Markov chain
Martingale Problem
Necessary and Sufficient Optimality Conditions
Well-posed Problem
Jump Process
Control Problem
Costs
Class
Pure jump process
Optimality conditions
Martingale

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

Cite this

A stochastic maximum principle for markov chains of mean-field type. / Choutri, Salah Eddine; Hamidou, Tembine.

In: Games, Vol. 9, No. 4, 84, 01.12.2018.

Research output: Contribution to journalArticle

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