A stochastic maximum principle for Markov chains of mean-field type (Q1712149)
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| Language | Label | Description | Also known as |
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| English | A stochastic maximum principle for Markov chains of mean-field type |
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A stochastic maximum principle for Markov chains of mean-field type (English)
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21 January 2019
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Summary: 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.
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mean-field
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nonlinear Markov chain
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backward SDEs
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optimal control
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stochastic maximum principle
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