Artikel
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Games ; ISSN: 2073-4336 ; Volume: 9 ; Year: 2018 ; Issue: 4 ; Pages: 1-24 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
mean-field
nonlinear Markov chain
backward SDEs
optimal control
stochastic maximum principle
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Choutri, Salah Eddine
Hamidou, Tembine
- Ereignis
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Veröffentlichung
- (wer)
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MDPI
- (wo)
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Basel
- (wann)
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2018
- DOI
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doi:10.3390/g9040084
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Choutri, Salah Eddine
- Hamidou, Tembine
- MDPI
Entstanden
- 2018
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