A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems (Q5126412): Difference between revisions

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scientific article; zbMATH DE number 7262078

Language	Label	Description	Also known as
English	A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems	scientific article; zbMATH DE number 7262078

Statements

instance of

scholarly article

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title

A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems (English)

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ESAIM: Control, Optimisation and Calculus of Variations

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publication date

16 October 2020

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zbMATH Keywords

maximum principle

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mean-field interaction

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switching diffusion

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1051/cocv/2019055

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cites work

A maximum principle for SDEs of mean-field type

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REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING

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The Vlasov dynamics and its fluctuations in the \(1/N\) limit of interacting classical particles

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A mean-field stochastic control problem with partial observations

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A probabilistic approach to mean field games with major and minor players

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Large deviations from the mckean-vlasov limit for weakly interacting diffusions

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A Hilbertian approach for fluctuations on the McKean-Vlasov model

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On the McKean-Vlasov Limit for Interacting Diffusions

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Tracking a Markov-Modulated Stationary Degree Distribution of a Dynamic Random Graph

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Mean field games for stochastic growth with relative utility

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Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle

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Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies

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Mean field games. I: The stationary case

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Stochastic maximum principle in the mean-field controls

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Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models

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Q3995465

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Stochastic Differential Equations with Markovian Switching

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A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS

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Linear-Quadratic-Gaussian Mixed Games with Continuum-Parametrized Minor Players

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On mean field systems with multi-classes

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On laws of large numbers for systems with mean-field interactions and Markovian switching

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A General Stochastic Maximum Principle for Optimal Control Problems

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Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics

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Q4492756

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Nonlinear Filtering Theory for McKean--Vlasov Type Stochastic Differential Equations

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Leader-follower stochastic differential game with asymmetric information and applications

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Q3358031

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Q3345521

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Mean field production output control with sticky prices: Nash and social solutions

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Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters

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Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process

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Hybrid switching diffusions. Properties and applications

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Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization

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Stochastic Recursive Algorithms for Networked Systems with Delay and Random Switching: Multiscale Formulations and Asymptotic Properties

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Q4255599

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On nearly optimal controls of hybrid LQG problems

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A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type

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Identifiers

zbMATH Open document ID

1460.60082

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DOI

10.1051/cocv/2019055

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5126412

@@ Property / cites work @@
+A maximum principle for SDEs of mean-field type
@@ Property / cites work: A maximum principle for SDEs of mean-field type / rank @@
+Normal rank
@@ Property / cites work @@
+REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
+Normal rank
@@ Property / cites work @@
+The Vlasov dynamics and its fluctuations in the \(1/N\) limit of interacting classical particles
+Normal rank
@@ Property / cites work @@
+A mean-field stochastic control problem with partial observations
+Normal rank
@@ Property / cites work @@
+A probabilistic approach to mean field games with major and minor players
+Normal rank
@@ Property / cites work @@
+Large deviations from the mckean-vlasov limit for weakly interacting diffusions
+Normal rank
@@ Property / cites work @@
+A Hilbertian approach for fluctuations on the McKean-Vlasov model
+Normal rank
@@ Property / cites work @@
+On the McKean-Vlasov Limit for Interacting Diffusions
+Normal rank
@@ Property / cites work @@
+Tracking a Markov-Modulated Stationary Degree Distribution of a Dynamic Random Graph
+Normal rank
@@ Property / cites work @@
+Mean field games for stochastic growth with relative utility
+Normal rank
@@ Property / cites work @@
+Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
+Normal rank
@@ Property / cites work @@
+Social Optima in Mean Field LQG Control: Centralized and Decentralized Strategies
+Normal rank
@@ Property / cites work @@
+Mean field games. I: The stationary case
@@ Property / cites work: Mean field games. I: The stationary case / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic maximum principle in the mean-field controls
+Normal rank
@@ Property / cites work @@
+Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
+Normal rank
@@ Property / cites work @@
+Q3995465
@@ Property / cites work: Q3995465 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Equations with Markovian Switching
+Normal rank
@@ Property / cites work @@
+A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
+Normal rank
@@ Property / cites work @@
+Linear-Quadratic-Gaussian Mixed Games with Continuum-Parametrized Minor Players
+Normal rank
@@ Property / cites work @@
+On mean field systems with multi-classes
@@ Property / cites work: On mean field systems with multi-classes / rank @@
+Normal rank
@@ Property / cites work @@
+On laws of large numbers for systems with mean-field interactions and Markovian switching
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
+Normal rank
@@ Property / cites work @@
+Q4492756
@@ Property / cites work: Q4492756 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonlinear Filtering Theory for McKean--Vlasov Type Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Leader-follower stochastic differential game with asymmetric information and applications
+Normal rank
@@ Property / cites work @@
+Q3358031
@@ Property / cites work: Q3358031 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3345521
@@ Property / cites work: Q3345521 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean field production output control with sticky prices: Nash and social solutions
+Normal rank
@@ Property / cites work @@
+Mean Field Games for Large-Population Multiagent Systems with Markov Jump Parameters
+Normal rank
@@ Property / cites work @@
+Asymptotic Properties of a Mean-Field Model with a Continuous-State-Dependent Switching Process
+Normal rank
@@ Property / cites work @@
+Hybrid switching diffusions. Properties and applications
+Normal rank
@@ Property / cites work @@
+Regime Switching Stochastic Approximation Algorithms with Application to Adaptive Discrete Stochastic Optimization
+Normal rank
@@ Property / cites work @@
+Stochastic Recursive Algorithms for Networked Systems with Delay and Random Switching: Multiscale Formulations and Asymptotic Properties
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+On nearly optimal controls of hybrid LQG problems
@@ Property / cites work: On nearly optimal controls of hybrid LQG problems / rank @@
+Normal rank
@@ Property / cites work @@
+A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type
+Normal rank