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.
- Language
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Englisch
- Bibliographic citation
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Journal: Games ; ISSN: 2073-4336 ; Volume: 9 ; Year: 2018 ; Issue: 4 ; Pages: 1-24 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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mean-field
nonlinear Markov chain
backward SDEs
optimal control
stochastic maximum principle
- Event
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Geistige Schöpfung
- (who)
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Choutri, Salah Eddine
Hamidou, Tembine
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2018
- DOI
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doi:10.3390/g9040084
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Choutri, Salah Eddine
- Hamidou, Tembine
- MDPI
Time of origin
- 2018
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